The first steps in Thaumcraft are to acquire an Iron Capped Wooden Wand, and right click a Bookshelf with it.
This will give you the Thaumonomicon, which will guide to through the mod.

Using the Thaumonomicon as a guide, you need to make an Infusion setup. A few hints:
 -You will need to research Nitor and Alumentum, which will unlock Essentia Distillation. This in turn unlocks the Infusion research.
 -The Runic Matrix requires more Vis than fits in your wand, so you need to find a way around this.
 
Once you have made an Infusion Crafting setup, you are partially done with the earlygame stage. The other requirement to truly leave the earlygame is a Blood Altar.