Once you hit play, you'll have your choice of a few different save spots. Each game gets its own save slot and you can't have multiple saves for a single playthrough. In fact, once you die, your information will be passed along for unlocking new characters before the save is deleted entirely.
Pick a slot and you'll be presented with a couple of options. You can change your character if you have any unlocked though only Wilson will be available until you've managed to get past the first dozen or so days.
Aside from that, your other options are for tweaking the game world. You can change all sorts of features about the game world such as how often (if at all) hounds will show up, how much of a particular resource will be available, etc. If you're just starting out and looking for an easier time, turn up the Beefalo and Rabbits while turning down the Hounds. This should give you an easier start and less hassel. When you are ready, start the game!