What you will need:
The basic ruleset for Dungeons and Dragons (5th Edition). This is available online through Wizards of the Coast, and you can also use the D&D Beyond website, which offers a character generator to do the math and track selections for you. You can also purchase content on D&D Beyond, but a free account still gives access to the basic ruleset, with a selection of races, classes, and backgrounds to flesh out your character. There are homebrew (third party, often fan made, unofficial) sources as well, but since these are unofficial, I do not recommend starting with homebrew, as many storytellers may limit or ban homebrew.
A character sheet. If you're using D&D Beyond, you can just create a character using the site. Otherwise, you will need a printed or form fillable character sheet to note down your race, character stats, and other changes. Be aware that certain elements of your character may change, so if you do use a pen and paper character sheet, you may want to use pencil for your hit points and other values that will change frequently so you don't have to keep printing more copies of the sheet.
PART I: Preparing your Character Concept
Before we actually start filling things in, take a look through the materials you'll be using to create your character. Glance through the table of contents for the basic rules (or any books you may own) and see what looks interesting to you. If you have an idea of the character you want to make, you can look for something that matches that, or you can flip through and look at what all the classes do and how they can grow at higher levels. Characters begin at level 1 usually, so you'll have to grow into some of the impressive abilities, but even that first level gives you a lot of things to remember.
In order to make an effective Dungeons and Dragon's character, I recommend beginning with a concept. This can be a personality that shapes your characters decisions, their training and heritage, or just how you want to handle things like social interactions and combat. 5th Edition D&D is generally fairly flexible with options, so you should be able to find a race and class to suit your concept without too much difficulty.
Races in Dungeons and Dragons have gameplay impacts, but I don't recommend picking your race for that reason, at least for your first class. Instead, find a race that reflects the concept you have for your character. While human is a bit generic, it allows for basically any personality you can imagine without the baggage of fantasy tropes. On the other hand, if your character has a personality that agrees with (or, perhaps, plays with) expectations of other races, go ahead. The default world of Dungeons and Dragons is a fairly generic fantasy world where most tropes are played straight, but your storyteller may make their own world which has significant changes or choose another setting that may be more unique. I encourage you to pick a race for your first character that interests you based on your concept- remember that you're not locked in, and if you find something that piques your interest you are free to make changes until your storyteller says otherwise.
Races determine your character's heritage, but classes determine their occupation and abilities. There are many classes in Dungeons and Dragons, and most of them are pretty straightforward. While some classes are stronger in or out of combat than their peers, 5th Edition is generally quite well balanced, so you don't have to worry about making any wrong choices. In addition to your class, you can also pick an archetype for each class somewhere between first and third level, depending on the class. If you want to do something with a particular flavor, you can see if there might be an archetype for it- rangers and druids both dwell in nature, but a Circle of the Moon druid excels in transforming into animals using wild shape, while a Horizon Walker ranger focuses on hunting down portals from other worlds that threaten the balance of life. Picking a class generally locks you into a certain set of abilities, and there is no system for changing archetypes in play, so make sure that you've found a class you want. Once you've found your class, all that's left is to pick a background that ties your character to the concept you have for them.
Backgrounds were introduced to 5th Edition to give characters a robust backstory. Picking a background generally grants your character an ability they can use in certain situations - an acolyte, for example, might be well received at temples of their faith. If you find this post anywhere other than the PC gamer forums, someone copied this somewhere else without even removing this sentence. Beyond this, backgrounds also give a set of proficiencies. I'll explain those in a moment. Your background is the final touch to explain how your character lives in the day to day, and helps your character be a little more distinct. Sure, fighters might tend to be mercenaries or soldiers, but your character may be seeking absolution for a past misdeed by joining a religious order as an acolyte, giving them knowledge about religious things.
That should complete your character concept- those are the four choices you need to make at character creation to put things down on your character sheet. At this point, you can either write your character backstory - a document that talks about family, friends, and experiences that have shaped your character - or fill out your character sheet. I won't talk much about character backstory, but I will give a few words of caution: Dungeons and Dragons, and all tabletop games played with parties, are about shared experiences. Characters should generally be able to work with others, even if they may not do so perfectly, and should also be appropriately scaled to the world the characters live in. For most Dungeons and Dragons campaigns, you'll want to avoid playing characters that are, to be blunt, jerks to their party. You can play grumpy, unfriendly characters if their personality dictates that, but remember that everyone in the session wants to be able to play the game, and bullying other players or attacking their characters can detract from their experience. Likewise, when writing your character's background, making a character who doesn't fit into the world the storyteller has prepared, whether because they're too special or just plain weird, can be disruptive to other players. Generally, there is some amount of wiggle in most campaigns, but remember that putting too much of the spotlight on your character can make other players feel ignored or overshadowed.
With that out of the way, now is the time to fill in boxes.
Part II: The Filling of the Sheet
Now that you've picked what you want, it's time to mark things down. If you're using a physical sheet or a digital form, I recommend having your sources open, since you'll be copying down a lot of things in this section. There are also a lot of game play choices here- what skills, languages, and other features your character will have all come from these sections.
In 5th Edition, proficiencies allow you to add your proficiency bonus to dice rolls using these abilities or skill checks, or to use equipment without penalties. I will not go into all the mechanical stuff here, since that's more a topic for how to play Dungeons and Dragons than how to make a character, but basically you will want to be proficient in the skills and equipment you plan to use. The fast majority of these proficiencies come from classes, races, and backgrounds. I will follow the D&D Beyond order for character creation from here on, but you can jump around if you would like. If you have a selection that grants you a proficiency, but you already have that proficiency, you can pick any proficiency of that type- skills, languages, tools, etc. If you're using a tool like D&D Beyond or ForgedAnvil's character sheet, some of these bonuses will either automatically be added to your sheet or the tool may assist with selecting options.
Your race will determine some of your bonuses and character features. These are typically pretty minor, but typically include the following:
Attribute bonuses (save this for later)
Skills, equipment proficiency, or other bonuses
For example, a wood elf gains a bonus to dexterity, proficiency with perception and some weapons, and the Trance, Fleet of Foot, and Mask of the Wild features, and the languages common and elvish. Record these proficiencies and features on your sheet, and remember the attribute bonus(es) for later.
Your class will give you your primary proficiencies, your skills, and give you the majority of your features. At first level, the important ones to know is your hit points (based on the dice you use to determine your health pool), the armor, weapons, and tools you can use. You may also get some features to pick at first level, and some classes, like cleric, will be able to select their archetype. Otherwise, record these proficiencies on your sheet. Do not mark your maximum hitpoints yet- you will apply your constitution modifier to it, which you will find in the next step (though, in some cases, this may be 0).
Your attributes determine the bonuses you get when making all sorts of checks in the game. These attributes determine your attribute modifiers- see the table below. You can increase these ability attributes later, but not above 20 without certain special abilities. There are several ways to determine your attributes, but the two most common are standard array and roll four keep three (also known as roll four keep lowest). Standard array, in Fifth Edition, lets you put the numbers 15, 14, 13, 12, 10, 8 into your attributes in any order you wish. If you had a wizard, for example, you would probably want to put the highest score, 15, into your intelligence, since wizards depend on their intelligence attribute to cast spells more effectively.
Alternatively, rolling for stats typically uses the roll four keep three method, where you roll four six sided dice and keep the highest three values, adding them together to determine one of your attribute numbers, which you can then assign- for example, if I rolled four dice and got 6, 5, 2, and 1, I would drop the 1 and add the rest together to get a score of 13, and then I would repeat the process until I have all six scores. Be sure that your storyteller allows people to use this method- there are many other methods people use, though they are less common than these two. Some storytellers only allow the standard array, because it ensures everyone starts with the same array of attribute modifiers.
Once you have selected your scores, add your race bonus to the appropriate attributes (if any). This will give you your final ability scores at creation, though they can increase through play. This is the last number you need before you start filling in your sheet.
4. Filling the Sheet
This is the final step before your character is ready to play, and also the most time intensive. At this point, you have everything you need to put in, you just need to finish filling in the blanks. You can fill in your character description based on your backstory and character design, and the rest of the blanks should be filled in with your earlier selections. If you're using a creator like D&D Beyond, it will automatically fill in most of the values for you, but if you would like to manually do so, here are a few things that you might have to look up if you're not familiar with Dungeons and Dragons Characters:
Proficiency: Your proficiency bonus is a bonus which is added to every check you make with a skill, saving throw, attack, or other proficiency (tools, instruments, etc.) you have. This starts at +2. It will increase later on, according to a table listed in your class features section, but for now just know that it starts at +2.
AC: Armor Class is how difficult it is to hit your character. This number is normally calculated as a formula, with 10 + Dexterity modifier (if not limited by armor) + Armor bonus (from your equipped armor) + Shield. A fighter wearing platemail will have their dexterity bonus limited by their armor, while barbarians and monks may not use any armor, instead using their class features to benefit from unarmored defense. Other class or race features may adjust your AC value further, as can spells and effects. A negative attribute modifier does give a penalty to AC.
HP: Hit points are based on your hit dice- at first level, you'll take the full value of the die (say, d12 for barbarian) and add your constitution modifier. At subsequent levels, you can either roll the die to determine the increase in hit points, or take the average rounding up (so, on a d12, the average roll would be 6.5 which rounds up to 7, on a d10, 5.5 rounds up to 6, etc.). Some features may add additional hitpoints to the maximum.
Attack Modifier: Melee weapon attacks gain a bonus to hit based on your strength, with the exception of finesse weapons which benefit from either strength or dexterity, whichever is higher. Ranged weapon attacks generally benefit from dexterity. Some class features may substitute other attribute modifiers. Spell attacks use your casting attribute, depending on your class. This will be listed in the Spellcasting class feature section for your class (or archetype). The formula for this modifier is Casting attribute modifier. If using a weapon you are proficient with, you also add your proficiency bonus to attack rolls.
Damage Modifier: Melee weapons gain a modifier to damage based on your strength modifier, though finesse weapons benefit from either strength or dexterity, whichever is higher. Ranged weapons generally benefit from dexterity instead. Some class features may substitute other attribute modifiers. Spells usually do not add any modifiers to their damage, though some features can change this.
Spell Save DC: Spell Save Difficulty Checks are what your targets have to roll to resist the effects of spells. Although the attribute needed to resist the spell changes based on the spell, your Spell Save DC is always based on your casting attribute. The formula for this save is 8 + Proficiency modifier + Casting attribute modifier. A Warlock with a Charisma of 16 would have a bonus of 13 at level 1, adding 8 + 2 + 3 together.
The one exception to things being automatically filled on D&D Beyond is spells; you will get a list of spells based on your class if you can cast spells, and you will need to select those. However, since that process depends on your class, I will let you read the Spellcasting class feature section to determine how many spells you pick and how you prepare them.
Once that's done, you've created a character! You are now ready to play in a campaign, or test the water in a one shot session, or hold on to your concept and use it in the next video game that supports 5th Edition Dungeons and Dragons characters.