First, you are going to want some wood. Take the axe from your inv entory when you spawned. Mine a tree from probably next to you in the place you spawned. Next, make a work bench with the wood you mined. Next, with the leftovers of wood you have, make a house. It may be night already, so you just need some protection. A tiny house is good enough, you can always expand it later. Then make a wooden pickaxe (we'll be upgrading it later) and go mining for ores and stone. If it's already night, go into your newly built house until it's safe to come out in the morning and do it. Once you've done this, get your stone and enter the work bench. Find a stone or other ore pickaxe and axe and make them. First buy the pickaxe just in case you don't have enough for both. If not, go out again and mine some more with your new stone/other ore pick, and then make an axe (of course you'll need wood for sticks to make it).
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Terraria Handbook
AdventureEverything you need to know about Terraria and how to survive.