Start with yourself! Your name, date and place of birth, etc.
Then move on to your parents, their names, dob, marriage info, death info if appropriate, etc.
Grandparents are next.
Add siblings, spouses, children.
Then you probably need to start the researching process. Free places to go to include www.familysearch.org, www.usgenweb.org, and a good old fashioned Google or Bing or other search. Look here (of course!) to see if your family connects with someone else's. No sense in re-inventing the wheel.
That ought to keep you busy for a while. Good luck and enjoy!