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If the wood is still wet from the pressure treatment, you will want to wait a while for the wood to dry. Then you can use any exterior stain or paints on it. Just sand, prime, etc. like on any other exterior wood.
With Pressure treated wood its best to let the wood season outside for 6 months (a year is better) before staining/paining it. After that paint away, but make sure you get an outdoor paint, or you will be repainting next year.