You must start by collecting resources from the environment so you can build a house and furniture. Each new game starts with a procedurally-generated map so the location and amount of resources will be different each time.

Collecting resources is done in 2 steps:
STEP 1: Select the resources to collect (use the RESOURCES button)
STEP 2: Assign monsters to the collection of resources (use the TASKS button)

The monsters will automatically start collecting resources as soon as you assign them the task. If they are not moving they may be finishing a previous task, just wait a couple of minutes and they will start on their own.

You do not need to store the resources that you collect: you can leave them where they are and the monsters will pick them up when they need them. Later, when you have met all the monsters' basic needs, you can build a storage room to keep all the resources together and optimize the monsters' movements.

To target a specific tree or piece of rock:
STEP 1: Left click on the monster to select it
STEP 2: Right click on the destination (tree, rock, or just a part of the map where you want to move the monster to)

You can collect at first: Wood, Evil wood, Rock, gold, Metal and Mushrooms.
Take a look at the resources section for further information.