Starting out it is very likely you will die a lot first thing to do is get Boreal Wood/Palm Wood/rich mahogany/shadewood/ebonwood to get equipment that is better than normal wood, although be wary of the evil biomes as their monsters can kill you in seconds at this point.
Once you got good equipment get as much ore as possible lead/iron would be the easiest to obtain and they will be useful throughout the pre-hardmode experience. If you can, go to the ice biome to get ice blocks to make frostburn arrows. Frostburn arrows are much better than flaming arrows as they provide the frostburn debuff.
Make sure you have good accessories like Cloud in a Bottle and Hermes Boots found in gold chests underground and have at least 200 health before facing the first boss, HP can be gained from Heart Crystals underground
NPCs well be a great help through out your journey, there are many helpful NPCs, like Demolitionist, Nurse and many more, make sure that they are happy. Another thing to do, is to build a house as quick as you can, as night will come quickly, and you do not want your Guide to die.