Choose your server
First of all you must choose a server to play on, in WoW these are known as realms. You cannot switch between realms, so make sure you and your friends pick the same realm, or you wont be able to play together. The closer you are to the server, the more likely are you to avoid lag, but feel free to choose any realm you wish.
Creating Your Character
Creating your character is a breeze. Select your race, sex, and class. Remember that players of the Horde and Alliance will not be able to play with each other.
Horde vs. Alliance Split
The Horde is at war with the Alliance in the world of Azeroth. Horde and Alliance players are unable to group/party with each other, trade, create guilds together, or even talk to each other unless both players have learned a common language. If you wish to play with other friends, make sure you select races that are allied with each other. You can have characters on your account of either Horde or Alliance faction, but not both. You and your friends must choose whether you all will create Alliance or Horde characters to play together. Read more about races here
You customize various aspects of your character. You can have the game customize a character for you by clicking the customize button. Hit this button repeatedly until it creates a character which is to your liking. You can further customize your character later in the game.
Decide on your name
You will have to stay with this name for the rest of your playing career so make sure that you create a name that you can live with. Some names are unaccepted, check out the naming policy so that you avoid the risk of having to rename your character or being removed from the game. If in doubt, choose something else ;)
Enter the world, and you're now playing World of Warcraft!