Ok - a good place to start is
HERE or
HERE or
HERE. All these books are great. You need an idea of what to do first.
Go to the gym when it's quiet and have a play around, find out what you can do and an ideal starting weight bearing in mind your goals.
Make a plan - so you have something to work towards and you aren't just going in blind and I find that I can see my progress by writing down everything I lift - weight, reps and anything I found difficult or easy. This way you can asses when and how much weight to add. I like to have a routine, although on somedays this goes out the window because the gym is busy and I can't use the DBs I want to use or I just feel like a change.
Get some good music on your MP3 player - get a whole lot of confidence, don't let the guys put you off (I plug myself into my iPod so I go into my own world) and stay well hydrated and fueled.
Some good exercises in no particular order:
Squats
Deadlifts
Straight Leg Deadlift
Good Mornings
Leg curls
Weighted calf rasies
Leg Press
Lat Pull Downs
Bicep curls
Bench Press (BB and then DB)
Incline Bench (I do this with DBs only)
Seated Row
1 handed twisted rows
Chest Press
Shoulder Press
Overhead Press
Crunches - weighted/twisted/cycles
Push Ups
The list goes on... I have more that I do but I tend to cycle due to limited time in the gym but I try and do a whole body workout. We all have our favourites as well...!