Congratulations on your engagement! This is such a happy time in you life. It's also a time in your life that you may find yourself in unknown, and at times, overwhelming territory. Don't be afraid!! I'm going to provide you with a list of the first things you should do that will make your planning process much less stressful.
First thing's first; establish a budget. This budget is for EVERYTHING; dress, rehearsal and all the little things you may not think about. Have plenty of wiggle room in the budget for when something unexpected comes up, because it will (alterations, event insurance etc.)!
Next thing you need to do is arrange a consultation with an experienced wedding planner. The most common, and biggest mistake couples make, is trying to save money by skipping the planner. You may be surprised to find out that a wedding planner will actually SAVE you money! They have expert negotiation skills that will save you big time with vendors! Luckily, most planners offer one free consultation if that calms your nerves. :)
Now the bride and groom must discuss the top 5 things they have to have for their big day. This is likely going to cause some serious compromise! If your budget is limitless than you can skip this step!
Once the "top 5" is discussed and settled, choose 5 things that you would love to incorporate into your wedding, but aren't deal breakers. This is where the wiggle room money is useful! Again if that budget is limitless (lucky!), just write a list of everything your heart desires.
Next, you will decide on a "theme". Decide if you want a casual or a black tie wedding. Decide what colors fit into this feel for the "theme" to be cohesive.
Once you figure out these first five steps, with the help of your wedding planner, things will fall into place much easier!
Good luck & Congratulations!