Basically, first thing you need to do is farm some wood, then turn that into planks, then make a workbench for better crafting.
Once you've done that, you can turn more wood into a wooden pickaxe, and then farm some stone to make a house out of. (this takes about 5 mins or so)
Once you've farmed some stone, you can make a small hut to spend your first night. You don't wanna go outside because the spiders/archers/grenademen will kill you and you'll lose all your stuff. You can make a storage chest to store your stuff in your house which is very handy once you start going hunting for better gear as if you die, you don't wanna lose it (it doesnt dissapear when you die, just drop but it's annoying to find it again) as you have to farm it all again (sadface)
There's always the instacoffin trick where you just dig down a few levels of mud and but one above your head so you can wait in peace for the morning
but only do this when
Everything you need to know about crafting blocks ect is
here