That's a good link, but it's sheer size might be intimidating to a newbie.
With that in mind, here's my simplified "things to do!" list.
1.) Find out who in your area is playing.
2.) Find out which eras they're playing, and how "religious" they are about force match-ups. For instance, if your local group is playing Mid-War Eastern Front, they might get a bit annoyed with you if you show up with a Mid-War British list, even though the points are compatible. Or they might be fine with it.
3.) Out of the options that are available, pick an era and nationality. Then get your hands on copies of the lists that are available for that combination. Your local group should give you some helpful pointers in this area so that you don't end up buying Grey Wolf (Late War German lists) when your local group plays 1940 France (Early War).
4.) Once you've reviewed the lists, pick one that matches your playstyle. Try and stick with the core-type lists. Yes, your uncle or grandfather might have served with a US Armored Cavalry unit. But if you pick that as your first list, you're going to lose. A lot (more than you otherwise would as a new player). A basic armor list or a basic infantry (including paratroopers) list is a good starting point. And while you *can* win with the more exotic lists, it's best to get a better understanding of the rules before you start trying to play them. Once you've got a solid feel for the rules, and a few wins under your belt, then feel free to branch out into the more exotic stuff.
5.) Find out if your group will allow you to start small. Assembling a 1500 point, 1750 point, or 2000 point army list can take a while, particularly if you're planning on playing Soviet infantry. Find out if your local group regularly plays smaller-sized games. You'll be up and running a lot faster if you can start out with a 600 point or 1000 point lists (depending on what exactly you're building).