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40d:What should I build first
Dwarves have basic needs similar to humans - food, drink, and somewhere to live & work. If you don't fulfill these requirements your dwarves will become unhappy and eventually go insane.
Food
You should start out with a plentiful supply of food at your wagon. But depending on where you build your fort, this could be quite a walk back and forth for your dwarves - you'll probably want to create a food stockpile near the entrance of your fort, and/or dig out a store room inside the fort.
For replenishing your food you have several options:
- Grow food from seeds at a farm;
- Gather plants from the surrondings;
- Fish from rivers, and prepare the raw fish at the fishery;
- Hunt wild animals.
Dwarves like to eat their food in a dining room, so you will need to create tables and chairs, and build them inside. Once you've built at least one table you can select it and define a dining room from it.
Tables and chairs can be made from any material, but I recommend stone as it is (generally) readily available. So you'll need a mason's workshop and a dwarf with the Masonry labour enabled.
Drink
As with food, you should start with a plentiful supply of alcohol at your wagon. When that runs out your dwarves will drink water from any pool/stream in the surrondings - you may want to designate a drinking zone at the nearest pond.
To brew more alcohol you will need a still, the appropriate raw plants, and a dwarf with the Brewing labour enabled.
Living Quarters
You need to build beds for your dwarves and build them inside. Beds can only be made out of wood, and hence you will need a carpenter's workshop, logs, and a dwarf with the Carpentry labour enabled.
You can place the beds wherever you like, but dwarves like to have individual bedrooms.
Expanding
I recommend you continue with a mechanic's workshop so you can create traps and machines, a meeting hall (defined from a table) for your "On break" dwarves, craftdwarf's workshop so you can start making goods to sell the merchants, and burner/smelter/forge workshops for making metal items.
The wiki-article Your first fortress has some great suggestions, but really it's up to you how you build your fort.