Hyenaste is designing this page as a resource for beginner conlangers.
As with any task, you must begin with a purpose. For example, you may wish to create an International Auxiliary Language (IAL), a language that facilitates communication between many groups who speak different languages. Perhaps you want to create a language that is extraordinarily simple to learn. Or you might wish to create a language that can express as much information in as little speech as possible. In fact, Esperanto, toki pona, and Iţkuîl were created for these reasons, respectively.
Your purpose doesn't have to be so stellar though. For example, my language Ylysepen was originally intended to look like Polish. As you can see, I missed the objective completely. It is totally OK if your language strays from its original purpose as long as you continue to have interest in it.
There are countless ways to begin a new language, so I'll cover some of the methods to getting your first sentences.
Vocabulary first Edit
An easy way to start constructing a language is to start with the vocabulary. Begin with some new words for common nouns, like "dog" or "table", and verbs, like "run" or "laugh". Just choose words that sound good to your ears, and keep reinforcing them. You'll find yourself looking at a dog, and thinking "hey, that's also a vufer in my language!" An interesting way to come up with words is to let your thoughts run when thinking of new words. For example: dog... dogs bark... dogs bark by saying "woof"... so dogs are "woofers"... in German, "w" sounds like "v"... so "vufer". And there you have a new word! Words formed like that are also extremely easy to remember since you have a solid connection between English and your language.
Once you get enough new words memorized, you'll be able to form short sentences mostly or entirely in your new language. It is always a good idea to keep a running dictionary of words, so you can remember whether you have already invented a word or not.
Don't be discouraged by the size of the English dictionary when thinking about how many words you will need. We only use a few hundred words to communicate on a daily basis. I mean, how often do you use the word galactopoiesis?
Sounds first Edit
The quickest way to building sentences, the sounds-first method allows you to start speaking paragraphs in the first few minutes. You probably shouldn't do this around people though, since they might think you're possessed by evil spirits!
Just let your tongue wander as you explore sounds you like. My four favorite sounds are s, sh, k, and the rolled r. My conlangs are speckled with these 4 sounds. As you speak, you'll identify the sounds most comfortable to you. You could also try to make sounds not found in English. What if, for example, you said "ha" while moving your tongue to say "the" while curling your lips to say "show"? (Actually it sounds like a really angry whistle to me!)
Anyway, this is the fastest way to start speaking sentences; just hope that no one asks you what your sounds mean!
Grammar first Edit
The linguist's choice, grammar first involves building declensions, conjugations, word order, noun classes, and the like before anything else. The grammar-first method requires a few words up front, but is generally free from invention.
I start with one noun (concrete), one adjective (a color, usually), and one verb (action). This method is more abstract than the other two--it's like trying to paint a house (grammar) when the walls (words) aren't even up yet. However, linguists find this method more fun because it allows them to play with different possibilities before investing words into the language. Check the Grammar suggestions page for how to effectively use this method of language creation.