Now that you have presumably purchased your rulebooks and started learning the rules, it's time to start thinking about what kind of campaign you are going to run. If you are a novice DM, I would recommend that you start off with a fairly generic fantasy world, something close to D&D's so-called 'implied' setting.
To be perfectly honest, a campaign setting is not a must, especially if you only plan to run a few one-shots or use published modules, but it is a heck of a lot more fun and satisfying if you have one and since this blog is about learning to be a good Dungeonmaster, building a campaign is a big part of the experience.
STEP 2: BUILD A CAMPAIGN WORLD - PUBLISHED OR HOMEBREW?
You have two basic choices when it comes to building your campaign world, use a published setting or create your own. There are pros and cons to both options and I will try to summarize them for you.
There are lots of good official published campaign settings that you can purchase. The oldest and still classic one is the World of Greyhawk, that was originally designed by Gary Gygax. Greyhawk has not been terribly well supported by Wizards of the Coast as of late, but Dungeon magazine did publish a beautiful four-part map for the setting that I have on my wall. Another classic option is Ed Greenwood's the Forgotten Realms. The Realms are available as a core book with a large number of supplements. The hot current setting from Wizards is called Eberron and I probably wouldn't recommend it to a novice DM. It has a distinct 'steampunk' feel and might not appeal to you or to a number of your players. If you are interested in it, at least read through the core book before making the investment.
Besides official settings, there are also a number of unofficial settings, via the d2o system license that are also worth a look. Sword & Sorcery offers the epic Wilderlands of High Fantasy box set, which is a real blast from the past. Kenzer and Company offers the Kingdoms of Kalamar setting (which is a licensed setting and technically more 'official' than the others) as a core book with supplements. There are plenty of others as well, but this should give you at least a taste of what is available.
The main advantage of a published setting is obvious - you don't have to make stuff up. Reducing preparation time is a big advantage for busy adults like me and probably you too. There is also the advantage that if your players are familiar with the setting, you don't have to explain as much about the world to them.
The main disadvantage of a published setting is the expense. The core book is going to cost at retail anywhere from $30-40 and if the setting has many supplements, the cost can easily rise into the hundreds. Supplements are another disadvantage. If a setting is still being published, you can find yourself in the 'book of the month' trap where you continually have to purchase the latest releases to keep up to date on the campaign world. Your players can also buy the books of course and this can spoil some or all of the campaign's secrets.
If you decide to create your own homebrew world, my hat is off to you. This is the mark of a dedicated Dungeonmaster. Creating a detailed campaign world is one of the most rewarding things that roleplaying games have to offer. Of course the task can also take years of real time and most worlds are never really finished. In upcoming posts, I will try to guide you through the process of creating your own world in a series of hopefully logical steps. Stay tuned.