Though there's better ways to finesse it, and if this is absolutely your first game then there's all kinds of things that can happen to you before you get your mind round the 'landscape', I suggest either:
a) Dig a stair shaft down until you go into stone, then dig out sideways into hallways. You won't need to do much of this before you get little oval blobs of stone. And if it isn't all Economic stone (which it won't be unless you happened upon a 'lucky' strike) then that's now available to build with. I like to do this (fitting in above the first cavern layer, below the soil) because I get pretty much the whole map, if I need it.
b) Do the same, with a horizontal tunnel, into the side of a hill (if you're not on an almost totally flat plane-embark, pools/river excepted). This is a fairly common 'starter' method because you don't have to worry about Down-Stairs linking to Up-Downs, which is a common confusion to experience, or get your mind around Ramps. You get to treat it as a 'flat' game if you have a good level fort-sprawl design (inside and out), but you can only dig so far without digging back out (or may have just minor hills up against the map edges) and then you have to learn how to get to different levels.
(And, these days, building a defensive wall at your 'ground' level is vastly less useful than it has been, with flying and climbing overcoming even the best one-level structures.)
Whichever way you do it, take advantage of any soil layers to set up an underground farm (you arrive equipped with the seeds you can use in that, by default, aboveground crops require a bit of plant-gathering first), set up a food stockpile in a dug out bit (could be where you first get your buildable rocks from, it could be in soil, but that's maybe better for the fieds I just mentioned) to unload those elements of the wagon-load into, work out what you're going to do with your stair/drift-mine access if/when you want to close it off, get the rest of the wagon unloaded safe within the place, chop a few key trees down[1] and dismantle the wagon to get wood enough to experiment with things that need it.
Hmm, sorry, that was a longer soiel than I intended. The TO:DR: version is; Dig into rock for stone, cut down trees for wood, if you have those, you can test-build (without going so far as confirming) a wall almost anywhere to check what is available, and if there's a discrepancy then look to whether you have incorrect stairs/ramps between areas. Also some workshops can be placed so that their 'bench plan' blocks adjacent doorways[2]... But you'll learn more by trial and error than just being told.
[1] Ideally before digging into the soil directly beneath, so if you see roots in the soil at all avoid those tiles completely until you either chop that tree down that caused them or at least know how far to dig/how to avoid leaving a hole.
[2] At a bare minimum, I tend to put all workshops in the centre of a 5x5 room and (for all but the few that themselves are 5x5) then paint a stockpile over the whole room to cover the 5²-3² tiles that aren't the workshop, and make it relevent to materials in or out of it. This avoids all door-blocking issues, as a side-effect of the other bonuses.
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Topic: 'No access to building material non-economic item' But I've just started to play (Read 2496 times)