1. browse trough these forums, there are quite a lot of tips
2. youtube and google do wonders
3. start mining -> get a metallurgical infuser and use redstone as power to create steel -> get a coal gen / heat generator and wire up the metallurgical infuser with normal power
you'll know what to do from there on
From there on it all depends on what you want to do really.. I'm currently playing on a MP server with some friends, and we're just having a "war". So we're all focused on getting ourselves some missiles and such.