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Welcome to MacRumors, and congrats on your new Mac!
First, check out your Macbook's various hardware features for a day or two; make sure everything appears in order. Doing this immediately is important; if you need to send it back for replacement (i.e. defective part), you'll need to send it back within 14 days.
Second, once you have Internet enabled, click on the Apple menu at top left of the screen and select Software Update. Let it get all applicable updates.
Third, after your MacBook checks out OK, you will have already had a few questions come to mind. There are two important sources for answers:
Hint:
Use the Search function on the Apple website and
especially on this forum extensively; chances are, your question has been asked before.
The Search Forums button is in the upper right corner of virtually every page in this forum. This will help you look less like a "n00b". But if you can't seem to find your answer in Search, then go ahead and ask. We'll take it easy on you.
Fourth, once you have your various apps all set up, get an external hard drive (500 Gb or larger) the first chance you get and enable Time Machine-- quite possibly the best personal backup system in the world.