Your next step after selecting a server is to set up your character. You begin this process by choosing one of the two factions (either Horde or Alliance). Again (and throughout the character creation process), it's a good idea to check with your friends first to see what they're playing, because you don't want to end up fighting against them (or maybe you do, if by "friend" you really mean "enemy").
Billed as the "good guys," the Alliance consists of four races including Humans, Dwarves, Night Elves and Gnomes each with their own special racial abilities (Gnomes, for example, get a racial ability that enables them to quickly escape snares that would otherwise hamper their movement).
The Horde is made up of Orcs, Undead, Tauren and Trolls that may appear as monstrous beasts, but play basically the same way (right down to each of them having racial abilities of their own - the Undead, for example, can eat the people they kill to maintain their health). Choosing the same faction as your friends is essential, because you can't group up (or even chat) with members of the opposing faction.
The other key thing to pay attention to here is "Class." This is your character's vocation of choice and will dictate what kind of skills you can employ for the rest of the game. At later levels, it's essential to have a good mix of classes in a group, so this is another area where you'll want to discuss with your friends what kind of class best suits their existing characters. It's also important to match your class to your play style - if you like twitchy arcade action then a Rogue or a Warrior is probably your best bet, but if you prefer assisting your group with helpful spells then a Priest or Paladin is probably for you. While lots of pairings work well in World of Warcraft, the safest way to go is to create a Priest, Paladin or Shaman because of their healing abilities (which will also make you extremely popular among ambitious groups later on). It's important to note that your character's race limits your choice of class, and as you can see from the image below, Undead have their choice of Warrior, Rogue, Priest, Mage or Warlock, but not Hunter - Undead cannot be Hunters under any circumstances.
Some of the fastest leveling classes are the Rogue and the Hunter due to their natural ability to take down foes quickly. Unfortunately, these classes are extremely popular among players (especially Rogues), and as you progress in the game, you may encounter difficulty finding groups to join up with due to the saturation of Rogues and Hunters.