Depends on how deep you want to get. IMO, the best way for a first-time world builder is to grab an adventure with
enough of a map to cover what you need session 1, including a town and someplace to hack orcs (or whatever). For 5E, I'd go with either "Lost Mines of Phandelver" (Starter Set) or "Princes of the Apocalypse" because, well, they have that. In older editions, I started with a standard module and it was enough to get me going.
I can hear you saying, "But those are set in the Realms. I want to create my
own world." Don't sweat it. You have a map. Nothing in there requires that you have certain things beyond the edges of said map. If it really bugs you, change the names of the towns and no one will ever look close enough to realize you ripped it off. If it really bugs your sensibilities, go ahead and rearrange things while you rename them. Boom! Now you've started world building for real.
The module that provided the first step for my longest running world was "Under Illefarn". I'm not sure I ever even ran the adventure, and I'm pretty sure the small map contained within his been lost to the ages. I do know that the name "Illefarn" doesn't appear in my world. Instead, it became Ilfandar, which is a pseudo-Viking area. I know nothing about the "real" Illefarn in the Realms because I despise the Realms with all the venom I can muster for an imaginary place that didn't kick my cat. It wouldn't surprise me, at all, to find out it was a small town in the tropics that hasn't been mentioned in publication since 1989.
Anyway, the point is that the rest of the world evolved pretty organically. One of the PCs decided that he was the refugee son of a noble line who found a cursed artifact and became evil. So, they moved south to find his homeland and I had to decide how far away it was, what it was like, and what they found on the way. That comes one step at a time.
At low levels, they need lighter challenges, so things stay somewhat local. The party needs to be able to beat feet back to town without having to camp. You probably won't even get off the map for a few levels. Once the world is a bit more established, you can put them on major roads, with lots of options, but we're talking about starting from zero, here. Just exercise your creativity by coming up with a couple of local side-treks. That'll help you get a feel for how deep to build the world. It also adds character to your world, which will give you something to draw on for the next step.
By the time they step off the map, it should be fairly intentional. Add a somewhat larger town, just a bit away, where they could get that full plate commissioned, a family heirloom sword enchanted, or research a particular spell (oh, how I loathe the automatic spell acquisition for Wizards -- so many hooks thrown away). You should really have a feel for what holes you want to fill in next (or what holes your players want filled in). Just don't rush this stage.
After you build a region, you work out from there. Sometimes, there's an element that calls to you and you add a foreign power (friendly or not), new race, etc. that is a ways away. Maybe you had names thrown out, early on, and you flesh them out, now. You don't even have to use those names for what you thought you were going to, originally.
History, gods, even magic can work the same as geography. Most people only care (or know, for a pseudo-Medieval world) what happened in their lifetimes. All you need, to start with, is the last skirmish with orcs (or barbarians, or the next town over). Let ancient civilizations show up when, and only when, you need them. Most towns only have a couple deities that matter -- ask your players what sort of gods their PCs worship and go from there. The baker might follow some random cult, but the PCs probably haven't had that conversation with him; it doesn't matter until it does.
On the other hand, if you really want to go big, this is an excellent resource:
http://www.amazon.com/Aria-Worlds-Series-Canticle-Monomyth/dp/096459031X. I used it to flesh out bits of my setting, after it was fairly mature, and it's quite nice for doing so. You really have to be a special sort of world-building geek, though, to care. Which is why it's out of print.