you will want to start by looking around your spawnpoint for these things.

• water,
• trees,
• and any coal ore places

Or you can find a hill to build a little house into the side

• first dig out all of the coal ore or stone if you can't find some
• then make the cavern bigger
• build a wall then you will have a tiny makeshift shelter(have a window,so you can see daylight )

Exploring
To explore the world you will want to bring along these few things

• a locatermap of your house so you can always find your way back
• plenty of food
• a boat if you are near water
• compass
• weapons
• bed if you can fall to sleep before hostile mobs spawn.

You will not want to go very far away from your house on the first time (maybe try exploring a lake or woods nearby. )

Sunflowers always point which way the sun sets so they are a useful navigation tool