Your class (and potentially your background) will provide you with some options for starting equipment, typically including armor, weapons, and a “pack” of some kind (which is just a collection of items, you can see the specific items they include in the “Equipment Packs” box in the PDF for this section). See the Armor table and the Weapons table for the specific options.
You can, instead, scrap all that and use the “Starting Wealth by Class” table at the beginning of the PDF to get a gold value, and then spend it on the specific items you want. But I would suggest this is probably more effort than it’s worth, unless you have a very specific idea in mind for your character.
Take a look first at what proficiencies you have (primarily from your class, possibly your ancestry) for weapons and armor. Don't pick weapons and armor you are not proficient with. That alone may significantly narrow down the options.
Generally speaking, the starting equipment for most classes will provide armor (if you are proficient with any armor at all). That primarily should leave you with whether to use a shield or not, which you should decide in combination with your fighting style. Some classes let you pick a “fighting style” that provides specific benefits; if that's the case, you should choose armor and weapons that fit that style. Otherwise, here are some general thoughts.
Assuming your character has two hands, that leads to some decisions about your fighting style. The Weapons table indicates when a weapon requires two hands ("two-handed"), when it can be used one-handed or two-handed ("versatile"), and when it can be used for two-weapon fighting ("light"). There are a few dominant styles:
There are a lot of options, but don't stress about it too much. Pick something that's flavourful and fits with the concept of your character in your head. You will get plenty of options as your character levels up that will make much more of a difference than whether you do 1d6 or 1d8 with your weapon.
Once you have selected your armor, you can write down your Armor Class (AC) on your character sheet. Note that some classes (e.g., barbarians and monks) have specific bonuses they get to their AC when they are not wearing armor—you probably want to do that instead. Otherwise, your AC is listed on the Armor table, beside whatever armor you chose, and including a shield lets you add +2 to that. If you are not wearing armor, and your class doesn’t specify a different calculation, then your AC is 10 + your Dexterity modifier.
Weapons have two numbers associated with them: the attack bonus (or “to-hit bonus”) and the damage roll. Weapons also have a type of damage associated with them: bludgeoning, piercing, or slashing.
For melee weapons:
For ranged weapons:
Write this information for each weapon in the weapons section on your character sheet. For example, you might write down: “Shortsword, attack bonus +4, damage 1d6 + 2 slashing”.