For anyone wishing to set up a WordPress self-hosted blog, I have prepared a series of posts about this for the international food magazine site that I run with some friends, www.zomppa.com.
You can read the first of these posts here: Setting up your Foodie Blog on WordPress. This post covers everything you need to know about basic set-up and installation. The next one which will go up on Tuesday, will cover theme selection and security settings. I should add that even though these posts were prepared with the foodie blogosphere in mind, they will assist anyone who is setting up a WordPress.org self-hosted blog.