Many hosts will install WordPress for you, and if that’s the case, definitely do that! It seriously doesn’t get any easier.
The host I use, and lots of others, use a service that lets you install WordPress software (and others…but that’s outside this class) quickly and easily. This video will take you through the process with Scriptaculous on the SimplyHosting cPanel. Most other hosts are likely to be similar. (Except GoDaddy, but they’re a whole other story….)
Where to install the software – If you have a current site on this host that you are replacing, and you want the new site to be hidden until it’s done, set up the install in a folder. You could call this “new site” or whatever. Doesn’t really matter because you’ll only be using this folder until you’re ready to go live with it. If you’re starting from scratch, just install WordPress where you want it in the first place and save yourself the hassle.
Your user name – User names cannot be changed later, so be very careful when setting yours up. The default is “Admin” but I recommend changing it to something else. “Admin” “Webmaster” “Webmistress” and your name are all poor choices. The user name is half of what is needed to log in, so don’t make it easy for hackers to guess.
Your Password – you need a STRONG password. Avoid using words from the dictionary, your year of birth, or anything like that. Or just go with the random password generated for you.