The first thing you should decide what kind of business you are starting and according to that you can take your first step hopefully following links will help you a lot www.entrepreneur.com/article/217368 www.forbes.com/sites/puneetmehta/2015/05/19/take-the-first-step-to-starting-a-business-but-dont-quit-the-day-job/
It depends on you what kind of business you want to set up. how much money you want to invest. All depends on you.
The title of this thread is much too vague. Actually, the title and content should have been switched so that the title would be I Want to Know All Firsts Steps to Start in Business and the content Need help, please.
What kind of skills do you have? What would be your dream job if you were working for somebody else? Lets start there.
If you are interested in Affiliate Marketing to get started, I know 2 programs that taught me step by step from the ground up. However, there are many types of businesses. I suggest you determine what strengths (design. writing, sales, etc...) and weaknesses you have, and research what business would be best to utilize your strengths in. Good luck to you my friend.
The first step to start your business is to be prepared well in the market like understanding the needs of your targeted audience.