Joining a Community
The option to join a community is one that more and more people are taking. Communities are portals into SL which use RegAPI, or have links from the sign up process. These are sponsored by groups or outworld companies to bring people into SL. These include The L Word and the National Basketball Association.
This is where everyone starts off. Before doing anything else, you will want to check your inventory for clothing. Which can take a while to download. If you feel kind of lost in the crowd, don't worry, so is everyone else there.
Once you have gotten yourself dressed up to your satisfaction, you will be better able to take a look around. Quite possibly you will find that you are partially corralled in, and will need to find an exit point. It all depends on which orientation island you showed up at. Mostly what you will want to do is explore around the island, and follow whatever paths exist. During that that you will be learning how the maneuver your body, and other objects and have any opportunity practice those skills. You will also have an opportunity to learn the basics of flying, and Modifying your appearance.
Eventually as you explore and examine things, you will eventually get a notecard that will enable you to move on to one of the Help Islands. Assuming you have done everything described in the paragraph above, go for it.