The first thing you need to think of is when you would like to get married. Try to pick an approximate date if you don't have a specific day you want. Our date changed about 5 times by the time we decided on one.
I started with buying a binder, dividers and folders that can go into the binder. I have a section for ceremony, reception, vendors and one with checklists and my guest list. I got information from everywhere I considered and put it in the appropriate section of the binder. As we decided where we were getting married, having the reception etc, I got rid of all the stuff I didn't need. I have 3 folders, one is for receipts and places I have booked, one is for cards and stuff I got at bridal shows and the other has my "registered at" cards from the stores we registered at.
I also went to quite a few bridal shows and they really helped.
The first actually did was decide where to have our reception. I found it a lot easier to plan the ceremony around the reception. We booked in May of 2008 for our wedding in July of 2009 and they only had 3 days left in summer of 2009 at that time. We wanted to have the ceremony and reception at the same place, but that didn't end up happening. After we had our reception hall booked, I looked for a place to have the ceremony. We found a presbyterian church that is really nice, only a few minutes from the hotel (where our reception is) and will let you bring your own minister.
After that, I contacted a friend who is a photographer, asked my cousin to make the cake, tried on and ordered my dress and the bridesmaids dresses, found a DJ, ordered our flowers and made and bottled our wine.
We did not have the money to get a limo, so we were trying to figure out what we could do for transportation that wouldn't be over $1,000. It turns out the pharmacy manager at the store I used to work at also owns a limo company. I saw him at a bridal show and he remembered me. He ended up giving me a really good deal on a limo.
Sorry this got kind of long. If you have any questions at all, pm me and I will be glad to help.