To start configuring Snowflake for Single Sign-On (SSO), the correct command to use is 'CREATE SECURITY INTEGRATION'. This command is specifically designed to integrate external security frameworks, such as SSO, with Snowflake. The other options do not relate to the configuration of SSO in Snowflake. 'CREATE SESSION POLICY' is used for defining session policies, 'CREATE NETWORK RULE' is for network rules, and 'CREATE PASSWORD POLICY' is for establishing password policies, none of which pertain to the setup of SSO.