Surprisingly most people who ask that have no idea. They think that genealogy is only about some far distant dead relatives.
The answer is "start with yourself."
Put together all the information you have about yourself. Start with birth, christening, marriage records. Given that you are still alive you won't need to look for a death record. Believe me some people have tried to do that :) After that you save whatever information is important to and about you.
Then look at what information you have for your spouse and children (if that is relevant.)
Finally look at what information you have for your parents and siblings. If possible ask family members for help.
Try to keep your information organised as you collect it otherwise it can quickly become overwhelming.
Go to Familysearch (link in the sidebar) and download the free version of PAF , found on thehome page, to give you a place to write in all the basic details. The program walks you through each area. Always make a back-up copy of your research. (Computers can die and you do not want to lose all your information.)
If by some good fortune you have been given a lot of family information already take some time to organise by person and/or generation before delving into any more research. Getting organised right from the start will save you a lot of time, and often money, in the long run.
Finally. Take your time. Do a little bit at a time. You want to enjoy the process of researching your family not be overwhelmed by it all.