Is there a first step to starting a business?

A good place to start is the business plan.  It helps you describe in words what you forsee in your business.  You will want to describe your product or service, your competition, what makes is your niche, who will buy your product or service and why, and how you will fund it.

One of the most important parts of the business plan is the funding section.  It lists out your estimated expenses, your estimated sales (which should be based on market research, not just guessing), and estimated profit.  Keep in mind that most businesses do not make a profit for 3 years, so include how you will keep the business running in those years.  Do you have savings?  This is the part of the business plan that any banker is going to look at first.