When you are plopped down, you want to find some basics to keep you alive and then scout for a suitable location for a settlement. The first things you need to find are Sapplings for twigs, Grass, some Flint and Trees for logs. Once you've collected enough flint and twigs to make a couple copies of both the Axe and the Pickaxe, make one of each.
Cut down a couple of large trees so that you have around 8 or so logs. Similarly, keep an eye out for Rocks and Gold but don't go crazy. These are for after you've established your settlement so they are very low priority.
You now have enough to survive the first night so it's time to start scouting. The primary attributes of your location are going to be: Plentiful supply of rabbit holes, at least a herd of Beefalo nearby (but not right on top of the settlement), access to trees and rocklands. This will very likely put you in a Savana Biome (this usually has the most rabbits and Beefalo) in close proximity to a both a rockland and a forest or grassland.
As you search for this location, collect berries and carrots for food. Don't eat them immediately because they are both better if you cook them. You'll wait until the night when you'll have to build a fire. Then you can cook them and reap the full rewards.
When night falls, you don't want to be caught in the dark. When you are in the dark, a creature called the Grue will appear and attack you for massive damage every 10 seconds. To avoid this, make sure you have started a Camp Fire (first option under the Fire/light category on the left). In a pinch, you can make a torch to avoid getting attacked but this will burn out quickly and provides very little light. Through Dusk and Night, you'll lose sanity but it will be slower if you are near a fire. You are safe to travel about at Dusk but night will set on quickly so don't wander too far from a fire.
If you don't find your spot after the first day then repeat this process of collecting goods for the next night and then searching again. Food will be a little higher priority now because your stomach may not have started the day full. If you are playing as Wilson, your stomach can hold 100 points of food and you'll lose 75 points over the course of the 8 minute (real time) day. Cooked carrots and berries return 12.5 points so you need atleast 6 total to replenish what you lose. But don't over eat and waste food. It's better to wait a little while before eating if there's a chance you might waste some of the food.
You ideally want to find a reasonable spot before the third night but no later than the fifth night. If you're coming up on the fifth night then simply settle for a Savana with plenty of Rabbit Holes.
NOTE: If you see any locations that are particularly interesting, you can create a trap (be sure to replace the supplies) and place it so that it will show up on your map. This can make a good marker so you can keep track of points of interest.