Ok. So now you have your Raspberry Pi with you and an SD card on standby as well. What's next?
Naturally the next step will be to burn the image file of the Linux that you are going to run on your Pi into your SD card. Oh by the way, make sure that your SD card is of 2GB or larger. Else, the Linux system won't be able to fit in unless you custom-make one yourself :)
Here are the steps to start 'baking' that SD card of yours :)
1) Format your SD card to a normal FAT filesystem.
2) Click here for the download links. For beginners, I would suggest that you install the basic Raspbian "wheezy".
3) So once you have the file downloaded, plug the SD card into your system and if you are running a Mac, under Disk Utility, click on the Info button to get the drive identifier of the SD card. It should be in the form of "diskX".
4) Then fire up Terminal, go into the superuser mode via the command sudo su and enter your password.
5) Enter the code dd if=/Location/*your-downloaded-image-file* of=/dev/diskX
The process might take a while and once you're done, you can now safely eject your SD card from your computer and plug it into your Pi. And voila!!! Your Pi is alive!!!
If you've connected the Pi to a monitor/TV via the HDMI cable, you can see the console startup process and once it's loaded, enter the username pi and the password raspberry to log in. After that, depending on what you wanna do, for instance you can start by typing out the command startx to go into the GUI desktop of the Linux system.
So, basically that's it to get your Pi working for the first time.
Happy programming and Pi-ing :)