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As with any Linux, you'll need to give yourself a user name, give the PC name and set up a password. You can also set it up to automatically log you in or encrypt your home directory where your files will live. There wouldn't be any point in encrypting your files if anyone can get to them simply by turning the PC on so you can't choose both options.
In a few minutes, you'll be asked to remove your CD or USB drive and reboot from the hard drive. Do so, and if all's gone right you'll see this login screen.
The first screen starts by giving you icons to several useful guides and sites for new users.