The process for creating a wallet will differ depending on which application you decide to use. Go here for resources that will help you to create your first wallet.
Whichever application you decide to use, be sure to back up your private key or seed phrase, and never share it with anyone. Most applications have a built-in function for allowing you to back up your private key securely. If you choose to use a hardware wallet, always keep your physical device in a safe and secure place.