After starting the game you must select one of the four available races and your character's gender (gender doesn't effect stats). Note that each race will occasionally give unique dialogue options when dealing with certain individuals and can make some situations easier.
After selecting a race, you will be given the choice as to what class you can select. Keep in mind that every race except dwarves can become mages. Dwarves cannot due to the lyrium infusion that makes them resist magic.
The final decision of import you have to make is the difficulty you want to play at. The descriptions aren't kidding about their relative difficulty, so choose the one that best suits the game experience you desire.
After completing these choices, the game will give you a character summary (the background of the character your choices have created). Each various set of choices will give a different background for the character.
An option will also pop up to import a different world from the Dragon Age website, but for it's best to begin with the default world and story.
Once that is over, you'll get a brief scene showing the start of the story, and then get an opportunity to customize the appearance of your new character. Finish creating the look of your character to your specifications and name him/ her to continue to the real start of the game.