(Almost) Everything you need to create your character is on this page...
(Print out a copy to take notes on.)
First, figure out what Class you want to be. Then choose a race. Check to see if there are any racial substitution levels or Dragonmarks that interest you.
Next use the point buy system to assign values to your attributes. Use the other files to record the bonuses and stats that are associated with your attribute values on your character sheet.
Assign your Skill points and pick out your Feats.
Pick a character companion (If allowed by class), come up with a name, record your Action Points and figure out your starting cash.
Pick out your weapons and armor.
Choose your equipment.
Spells, Psionic Powers and Magic/Psionic items are all linked in the main index on the left side of the screen.