First you will need a character sheet, a couple of pieces of scratch paper, a pencil, 4d6, and a copy of the PHB (or at least the SRD found here:
http://www.wizards.com/default.asp?x=d20/article/srd35 ). This will take you about 1-2 hours your first time, it helps if you can find someone to walk you through it as well.
Step 0) Have a concept: some players like to have a full-blown character concept in place before they begin, others like to roll abilities and pick a race first and let that innspire them. Usually it is best though to have some idea of what you would like to play but leave the details a little vague at this point and filll them in later. "I want to play an elven archer like Legolas" is fine at this point.
Step 1) Talk with your DM: your DM may have special rules or restrictions relating to his campagin that will affect your options. It is also often a good idea to talk with your fellow players and possibly make your characters as a group that works well together (possibly even sharing a common backstory before the game begins).
Step 2) Roll ability scores: your DM will tell you exactly how he wants you to generate your ability scores. Maybe he wants you to do Iron-Man, or maybe he wants you to use a 32 point buy. This is one of the things you need to ask him about. The standard generation method is to roll 4d6, drop the lowest number and sum up the remaning 3 dice and write that number down on your scratch paper. That is one ability score. Do this 6 times in total, once for each ability score. If your highest score is 13 or less roll again. If the sum of your ability modifiers is 0 or less roll again. Once again, your DM will tell you if your scores are too low.
Step 3) Choose your class and race: if you don't already know what class and race you want based on your character concept now is the time to decide. Matter of fact if you don't already have a prety good idea of what your character concept is now is the time to work it out in more detail. Briefly note what features your race gives you and what abilities your class gives you at first level but don't try to write all that down at this point. Do write down your race and class on your character sheet.
Step 4) Assign and adjust ability scores: look at the six ability scores you have on your scratch paper and decide where you want to place them in each of the six ability scores. If you are having trouble deciding where to put the scores re-read your class decription, it has some advice about which abilities are most important to your class. When you decide where to put each ability write that number down on your character sheet. Do not forget to adjust ability scores based on your race (for example: elves get a bonus to Dex and a penalty to Con). Next to each ability write down its "modifier". This number is very important and you should get so that you can remember it as easily as you remember what your ability score is. To find out what your modifier is for each ability is refrence Table 1-1 on page 8 of the PHB. In short an ability of 10 or 11 has a modifier of 0; for each two points above 10 the modifier increases by 1 so an ability of 12 or 13 has a mod of +1, for each two points below 11 the modifier decreases by 1 so an ability of 8 or 9 has a mod of -1. All this should be on your character sheet.
Step 5) Record racial and class features: now you are going to write down those abilities given you by your race and class. Begin first with the racial description and find the apropriate place on your character sheet to write down each ability: skill bonuses go in the "misc" column in the skill section, saving throw bonses go in the misc column of the saving throw section. There is usually a "special abilities" section where you can write down anything else. For example, if you are playing an elf you would write down "medium" or "m" in the size box, 30 feet in the speed box, +2 bonus v enchantments in the saving throw modifier box, +2 by Listen AND Spot AND Search in the skills section, under the "special abilities" section you would write "Immune to sleep effects", "Low-Light vision" "Martial Weapon Proficiency: longsword, rapier, longbow, shortbow", and "automatically search for secret doors", under the languages section you write "Elven" and "common". Look at your inteligence modifier, is it a positive number? If so you choose that many bonus languages chosen from the list of bonus languages in your racial description and write those down too. Now look at the "special" column in your class description and see what it says, if it says "bonus feat" ignore it for now, if it has the name of a feat write that down in the feats section, if there is anything else there then write it down in the "special abilities" section. For example, a first level ranger would write down Track in the feats section and in the special abilities section he would write "favored enemy 1" and "wild empathy".
Step 6) Select skills: find the number of skill points your class gives you at each levle in the class description. Now add to that your Inteligence modifier (or subtract if you have a low Int) plus any other modifier due to race (humans get +1 skill point). Even if you have a very low Int you get a minimum of 1 skill point per level. Now because this is first level you take that number and multiply it by 4, that is how many skill points you have to spend. For example an elven ranger with a 12 Int has 6 + 1 = 7 skill points per level, at first level he gets 7 * 4 = 28 points to spend. Look at your class skills list in your class description, those are your class skills. You can buy any skill on that list at one point per rank. Any skill not on that list is cross-class and you can buy at two points per rank. At first level you can have at most 4 ranks in a class skill and 2 ranks in a cross class skill. I strongly suggest that you buy only class skills and that you put a full 4 ranks in each skill you want because in DnD it is better to be good at a few things than only average at many things. Look under the skills section for the column that says "ranks", write down the number of ranks in every skill that you bought at least 1 rank of, skip skills you dont' have any ranks in. Now look at the column that says "ability modifier" write down the ability mod for the key ability related to each skill, you know which ability is key for each skill because it says so right next to the skill name. For example Strength is Key for Jump while Wisdom is Key for Spot. Write down the ability mod for each skill even cross-class skills and skills you dont' have any ranks in. Now add up all the numbers on each line for each skill and write down that number under the column that says Skill Modifier. Refer to this section often durring game as it tells you what your character is good at and may give you an idea of something you can try.
Step 7) Select feats: every character gets 1 feat at first level. If your race says "bonus feat" you get another, if your class description says "bonus feat" you get another (so a elven fighter gets 2 feats and a human fighter gets 3). Look over the feats in the feat chapter and choose one that you like, fits your character concept, and that you meet the prerequisites for. For example, our elven ranger might pick Point Blank Shot as his first level feat. Write your choice(s) down in the feats section. Again, refer to this section often durring game to remind yourself what your character can do.
Step 8) Select euipment: once again your DM may put restrictions on how much money you start with and what equipment you can buy. Look at table 7-2 on page 111 to find out how much money your character starts out with. For example a ranger rolls 6d4 * 10 and has that many GP to buy equipment with. No mater what else you buy make sure you have a dagger, a sling, and flint and steel.
Step 9) Everything else: now look over your character sheet and fill in any boxes that you haven't already filled in.
Hit points: you recieve maximum hit points at first level. Look in you character description to see what die you roll for hit points and take the maximum value, now add to that you Constitution mod (or subtract if you have a low Con). No matter what you get a minimum of 1 HP per level. For example: our ranger has a d8 hit die so a first level he gets 8 + Con mod HP.
Armor Class: your AC = 10 + armor bonus + shield bonus + size modifier (0 for medium characters) + Dexterity mod. You may not have all of those bonuses, you may have some other bonuses from other sources such as race or feats. Also note that your armor may have what is called a "Maximum Dex Bonus", if for some reason your Dex mod is higher than that number then you only add that number when you add your Dex mod to AC. Also, your armor may have a number called an "Armor Check Penalty" subtract this number from the skills Balance, Climb, Escape Artist, Hide, Jump, Move Silently, Sleight of Hand, and Tumble when you are wearing armor. If you are a Sorcorer or a Wizard who is wearing armor you have to worry about Arcane Spell Failure. If you are wearing "medium" or "heavy" armor it reduces your base speed. Your "Touch AC" is your AC without your armor or shield bonus. Your "Flat Footed AC" is your AC without your Dex bonus. For example our elf has a Dex of 17 giving him a Dex bonus of +3. He wears Studded leather armor which has an armor bonus of +5 and a Max Dex of +3, he can keep his entire Dex bonus. His AC is 10 + 5 (armor) + 3 (Dex) = 18. He also has a Touch AC of 13 and a Flat Footed AC of 15. Studed leather has an Armor Check Penalty of -1 so he goes back to his skill section and writes an additional -1 next to each of the skills mentioned above and re-calculates the total modifer for each of those skills.
Initiative: your Initiative modifier is your Dex mod plus any bonuses from feats or other sources. For example, our elf has an Init of +3.
Attack Bonus: look at your character class under the conumn that says BAB. That number is your Base Attack Bonus. Find the box on your character sheet that says BAB and write that number there. Now find the box that says something like "Ranged Attack" that value is your BAB plus your Dex mod plus your size mod. Find the box that says something like "Melee Attack" that value is your BAB plus your Strength mod plus your size mod. Your Grapple check is your BAB plus your Str mod plus a special size mod, ask your DM for help with this one. Find the place on your character sheet where there are several boxes for different weapons. In each box write the name of each of the weapons you bought and intend to use. There is a line there that says Attack bonus, write down the total of your ranged or melee attack bonus plus any special mods due to weapon specific feats or a special weapon. For example, our elven ranger has a BAB of + 1 and a Dex of 17 which gives him a Dex mod of +3. He took the feat Point Blank Shot which gives him a +1 to attack and damage with ranged weapons within 30 feet so in one of the weapon boxes he writes in "Longbow", he then writes under the line "attack bonus" the number +5 ( +1 BAB + 3 Dex + 1 PBS). Then fill in all the other values in the weapon box copied from the weapon entry in the equipment section. For example our elf writes 1d8 + 1 under damage (a longbow does 1d8 and PBS adds +1) and x3 under critical. He writes 100 ft under "range" and piercing under "type". It is very important to have all this information written down like this on your character sheet because it saves you time durring play from having to look up these numbers in the book or re-calculate these values.
Saving Throws: look at your character class and find the columns that say Fort Save, Ref Save, and Will Save. Write the number you find there on your character sheet in the box for each save. Now add the key ability mod for each save (Constitution for Fort, Dexterity for Ref, and Wisdom for Will) plus any other modifiers you might have for race or feats. Sum up each number and write the total on your character sheet in thebox for each saving throw.
Now look at your character sheet. Are there any other boxes you haven't filled in? If so then ask your DM about them before you begin.
Step 10) Finishing details: now is the time to add some "flavor" details about your character. How tall is he? What color is his hair? Does he have any family? What god does he worship? Why does he adventure? And most improtantly of all:
what is his name? You should work closely with your DM to make sure that your character will fit into the world he has created for you to play in.
Step 11) Have Fun!
I thnk that is it. Is sounds like a lot I know but if you have any other questions don't be afraid to ask. Good luck!