SideNote: You'll definitely need to read or watch something so you can have your 1st military group working.
Yeah, the military system comprises a bunch of screens that are all vaguely related but which all need to be lined up correctly in order for you to do stuff.
To set up a very basic military, you need a barracks (can be made from a bed, armour stand, or weapon rack) and a squad to train in it. To get the squad set up, you need to go into the military screen (m), Positions* (p), create a squad (c), and then select a uniform. Go with 'Metal armor'. Then you select the dwarves you want from the right-hand column. Then you go into Alerts (a). Squads start out on the Inactive alert, so you need to get a squad to the Active alert if you want it training full-time instead of doing civilian stuff and individual drills. To do that you highlight the Active alert, move one column right and highlight the squad, and then press Enter.
All that's left then is to tell them where they should be training. (q) over whatever bit of furniture is acting as your barracks, press + or - as necessary to highlight the squad, and press (t). This should send them all to the barracks ready for demonstrations or sparring. Then forget about them. They'll train themselves (small squads are faster than large squads) and upgrade their armour as better options become available. When you want them to go somewhere, press (s) to open up the Squads screen. Select a squad by typing in the appropriate letter (the shift key allows multiple squads to be selected), then press (m) to station them wherever the cursor is. They'll stay there until they get too hungry or thirsty or drowsy, or until they find an enemy to engage. To cancel the station order, go back into the Squads screen, select the squad, and press (o).
You can do crazy complicated things with the military system, but 'train here' and 'go here / guard here / kill whatever's here' are the only two commands you really
need. Look into making your own custom uniforms -- dwarves set to 'Metal armor' are generally good at equipping themselves, but they're not perfect.
*The Positions screen is the first one you see anyway when you go into the military screen.