Some people start Minecraft and go "what da heel r i suposed 2 do hear!?"
I'm here to make life easier for you so you're not mocked on the forum boards when you ask this.
Anyway, I've divided this into steps to make it quick and easy to understand. So, let's get started.

Day 1
Look for trees, cut down 16 logs (with your HANDS in case you were wondering)
Then, turn 6 of your logs into wooden planks. Turn those planks into a crafting bench, a pickaxe, (and if you're on easy or higher difficulty) a wooden sword. Then, take your pickaxe and dig in a staircase fashion down until you have 11 (13 with monsters enabled) and then make this in your crafting table:
- A stone pickaxe
- Furnace
Then burn 1 log with another one of the logs as fuel. Use this charcoal you get to burn the 8 logs you have left.
Make 2 more sets of sticks and you should have some torches and tools. By this time, it should be noon/evening. If by now there are some sheep nearby, kill three and get some wool, use this wool to make a bed. By now it should be getting late, if it is still light out, you might want to collect some more wood. But if by now it is nighttime, go to sleep.
Day 2
Begin to build a small 3x3 room, add chests, a workbench, a bed, and a furnace in this pattern.

f = floor (wood is recommended)
w = workbench
u = furnace
c = chest
b = bed

w | c | c
f | f | f
u | b | b

Add walls and other things as desired. Afterwards, begin mining, and start a farm. There are many tutorials on what to do from here on out. But after this point, you could move on to build a fort, or an underground mansion. But this is where I sign off.