If you are just starting your genealogy research, talk to as many immediate family members as you can and collect names, dates and places that relate to your family. Make note of everything they tell you--you never know what might prove useful. Dates and places are valuable to help you find published information. Copy any family documents you can, including family listings in Bibles and other resources, as well as birth, marriage and death certificates, and obituaries.
These sites will help you find additional resources for doing genealogical research.