You'll want to create most of the stuff you can, get a good stone axe and so on, a bow, and some leather armor maybe. Then you'll want to find Eikthyr - the stone near your starting point will show you where to find him. Get ready for a fight.

Get an axe and a club, then gather flint and hunt boars and deer until you have a spear and bow. You can make leather armor at this point, but it's not particularly necessary (might be helpful if combat's feeling rough). A shield is also an option at this point. You can and should upgrade your workbench as much as possible after you get your gear. You need deer trophies to progress further, and your spear and bow will be your weapons of choice for the first boss.

make stone equipment. Make leather armor. practice some skilz. When you think you are prepared go find the sacrificial altar or a runestone pointing to the altar and follow it's instructions.

The progression loop of each biome is - explore the new biome, upgrade to the next tier of gear, improve your base, discover new recipes and items, fight the boss, the use the boss item to collect the biome resource in the next biome to continue the progression.