What are some important first steps to take with a new PC?

deactivate the indexing service, and purge the autostartup of any programs you do not need to be launched at system boot, especially after you installed your other software. then install AV/FW and deactivate UAC and set windows updates to either notify on available downloads or download, but ask the user to start the installation.
I also recommend a program called “fences” which will help you keep your desktop tidy.

I second @ragiongloli’s comment on indexing services. You may have to google to find all of the pernicious Windows indexing pieces and either disable or remove them.

I recently got a new Lenovo laptop. I googled the Lenovo forums for my computer make/model and found that there were some Bios setting tweaks and some Lenovo provided power control applications that were recommended to be turned off/removed (to improve performance).
If you can see any programs provided by the manufacturer of your new desktop and suspect that you won’t need or want them—make sure they don’t come up in your startup and think about uninstalling them.

Based on my experiences I’d recommend:
1. Googling the forums for the make/model of your desktop.
2. Making sure you have good (and up to date) anti-virus software installed
3. Consider trying out Google Chrome in lieu of Firefox. I found Chrome faster and less bloated than the latest versions of Firefox.. might be worth giving it a try to see if you like Chrome.

You will like Windows 7 it loads up quickly and has some great features like the taskbar at the bottom of the screen, the calendar bottom right and the funny little rectangular pane in the bottom right corner of the screen that takes you to the desktop.

I would download AVG security by Grisoft and Picasa 3 for photographs. I would also recommend an external drive to back up my files, just in case.

Before you do anything, I’d recommend making a backup of everything as installed and delivered. Win 7 has a tool for this.
Then also ask your vendor to send you a disk of the OS.

Call your clergyman and have him bless it.

Then delete/uninstall all the crapware.

Oh, and if it is one of those dell/hp crap machines, format the harddrive, repartition it, so that the OS and your data are on separate partitions and do a fresh windows installation, do not install any of the software that came with the machine except the most necessary drivers, but it is recommended to download the newest drivers from the hardware manufacturer (not dell/hp).