Welcome to your first recording Session.
Start Pro Tools by clicking on it's icon. Depending on which version of software you use it may look different.
When open, the first page is the Dashboard.
The Dashboard is where you will name your session and set the session's info. Maybe a good name would be "First Session." You probably have a better name, use whatever you'd like.
The most important information is located at the bottom, Location
On my external hard drive, I've created a folder named "Pro Tools" and I save all my sessions in that folder. That makes it easy for me to find all my sessions because they are all in this folder.
For now, just set the rest of the information as shown below.
Click on Create and you have started your first session.