The very first step is selecting the yarns. You need to pick out colors and textures. I just pile my yarn up and walk by for several days adding and subtracting until I get something I like. For the warp, you must choose some very strong and smooth yarn. Your reed is going to run back and forth over it and there will be tension applied to the yarn. Any yarn that can't hold up to the wear or tension is definitely out, and any yarn that is very bumpy is going to just kill you when you try to slide the reed up and down.
Now I will tell you a tip I discovered when starting a project. I actually used a 3-ply alpaca yarn -- this is a very delicate yarn -- and didn't put much tension on it. Instead of using the reed to open the shed and pack the yarn, I used a batten (a stick for opening the shed) . This cut down on wear and tear. It took longer to make sure I opened the shed correctly each time, but it was well worth it. Don't try something like this for your first time. Use something slick and sturdy.
Now, you would usually take your loom off the stand and clamp it on the table with the clamp set that comes with the loom. I'm lazy and showing you the easy way. If you have your loom on a stand, just place it against a table like I have it here. Put your reed in the top most cradle in the middle. Make sure the notched side (right bottom) is on the far side of where you are going to pull your warp threads. I'm going to pull my warp over to the far left and loop it on a chair ear. Don't forget about your brakes to keep your winder things from unwinding. As you see, the one on the right is in the correct position, while the one on the left is just hanging there. Also, turn your winding bars in so that those warp stick are toward the center as pictured below. Be sure to take note of the boot shaped latch and the notch under the reed there by the camels neck. You will need to know this for way later. This picture also reminds me that I have to make some wine. The equipment is just sitting there.