It’s installed, now what?

I want to rebuild my site so I can have one of those cool WordPress layouts and features. I’ve built my previous sites using a WYSIWYG program. I want to learn how to build a WP website but I really don’t have a clue how. The video tutorials really don’t help as much as I’d hoped. If you were in my shoes (and maybe you were) what would be the first thing you would do to learn how to build a premium grade WP website?

PS
I downloaded a theme but really don’t know what to do next.