The first thing you will need to craft is a wand. The first one available to you is the Iron Capped Wooden Wand crafted as shown here (using a stick and iron nuggets):
You then place a bookshelf in the world and right click on it with the wand. This gives you the Thaumonomicon which explains almost everything else you will need to know about Thaumcraft.
Go check out the unofficial wiki here.