Where would I look first?

Almost every source on beginning genealogical investigation urges the beginner to start with his own records and those found at home. Before starting your search, I suggest looking at the FamilySearch Research Wiki. You will probably end up searching your own home for records, but I think it is important to get some basic instruction before gathering records. You may not even recognize a valuable record unless you have some understanding about what you are looking for.

Here are a list of articles in the Research Wiki that will give some basic understanding of what you are trying to find and how what you find might be helpful:

The first pages I would look at and study would be the Principles of Family History Research. You can use that page to find the link to Identify What You Know. These pages are not long discussions, but rather, they show links to even more pages. As you click on links in the Wiki, you are actually filtering your search. Each time you move one level down in the linked pages you have effectively filtered out other pages of less interest.

An alternative way to enter into the Research Wiki is through the page How to Guess Where to Start. This is a slightly different way of approaching the same topic. Here is another page entitled, How to Begin a Search for Your Ancestor. If you don't like to read all that much, you can find quite a few videos online both free and fee based, that will help you get started. For example, The Midwest Genealogy Center has a video that is called Beginning Genealogy by Ellen Miller. You might also try Tips and Tactics from 50 Years of Research by Gary R. Toms. Another helpful article is Guessing the Easiest to Research Person and Event.

I am the kind of person that usually opens the box, starts to put together the product or get it running and then, after running into problems, finally looks at the instructions. You can do genealogy the same way, jump in and try to find someone, but without some preliminary instruction, you are likely to spend considerable time plowing a field that has already been plowed. I must also admit that I spent more than a few years doing genealogical research before I attended my first conference or even opened a book about genealogy. Unfortunately, some of the work I did back then was as disorganized as you would probably expect it to be. I guess I feel some kind of responsibility to try and get others over the hurdle of beginning in the right way and not having the same set of problems I am still trying to solve.

There is even a page in the Research Wiki called Rookie Mistakes.  All I can say about that article is that it sounds like a description of me about twenty years ago.