Know your campaign setting - is it Forgotten Realms™? Is it Eberron™? Is it Greyhawk™? Or is it even a campaign setting that you thought up yourself? Well, whatever it may be, be sure you are aware of where the PC's are starting out, what the climate and overall environment in that area is, and most of all, what level they are! Being a DM, you should know these kind of things right off the bat, so you don't have to worry about doing incredible research to learn them.
Think of a rough idea of what you want this dungeon to be like. Some examples might be an underwater adventure where they must learn the secret to where the Wand of Orcus is, an extermination mission where they venture into the city's sewer system to wipe out the thieves' guild there, or a flat-out dungeon crawl. Try the dungeon crawl for beginners because it requires little story or role-playing on your part (assuming that handling NPCs will be challenging for you in the beginning stages of DMdom). Anyway, a dungeon crawl is basically just your average dungeon with random monsters plaguing its caverns, a few random traps, and some random treasure. It may sound difficult with all of this "random" stuff, but it is actually very simple.
Start on the dungeon creation. The first thing you want to do is write a short and sweet backstory about how this particular dungeon came to be. Is it an abandoned dwarven city? Is it a forgotten Kobold mine? Both of those are widely used, so see if you can think of something a little unique and interesting before resorting to the cliché path. Keep in mind where this dungeon is geographically positioned, though - you wouldn't have an magmin-infested tunnel complex in the arctic wastes of Arthaenor, now, would you?
Build some settlements (at least one) relatively near the dungeon. This will come in handy to the players, who can restock on weapons and equipment there, heal there, and most of all, get their magic-items identified there!
Think up maybe two notable NPCs in the village - people that the PCs can refer to when asking "so-what-are-we-supposed-to-watch-out-for?" type questions. You don't need every bit of personality worked out the NPCs. Just enough so that you know what their occupation is and a rough idea of what their disposition is.
Draw a map of your dungeon. Grid paper is recommended, since in combat, you play on a "battle-grid." You might like 4-to-an-inch paper or 10-to-an-inch paper. Use whatever size grid paper you want. Also keep in mind the size of your dungeon when choosing grid paper. Here are some things that all dungeon crawls have: at least 1 encounter with 3 or more weak monsters. At least 1 encounter with a not-too-tough-and-not-to-easy monster. At least 1 encounter with a "boss monster" that will be the final challenge in the dungeon. At least one trap or locked door that the rogue or bard can disable or pick. At least a total treasure of 100 GP per party level per party player (i.e. for a group of 5 4th-level characters, reward each of them 400 GP). At least a total treasure of one magic item per party member (if they are above first level. If they are first level, just give them non-magical items, such as masterwork weapons, precious stones, and perhaps some platinum pieces. These 6 "musts" are essential to any dungeon. However, don't overdo it on the treasure. That is a mistake that many fledgling DMs make.
Choose which monsters you want for the first three "musts." For the weak encounter, an average battle will be the players against 3 Kobolds or goblins. For the medium encounter, a few orcs or a medium monstrous spider will do the trick. And for the "boss" encounter, a choker or phantom fungus will do. This is all assuming that the characters are first level. If they are higher, you should have tougher monsters.
Place your chosen monsters in the dungeon and write up their stats. You don't need to write out every single thing in their entry in the Monster Manual - just their basic combat stats (i.e. special abilities, AC, HP, attacks, saves, speed, initiative, etc.).
Choose the treasure. You should put it in a hard-to-reach spot (such as behind a secret door, or even guarded by the boss monster). For a party of four first level characters, an average treasure hoard would be 300 GP, two 50 GP gems, a masterwork battleaxe, and four potions of Cure Light Wounds for later adventures.
Figure out the leftovers. Are there any locked doors? If so, what are the Open Lock DCs? Are there any secret doors? If so, what are the Search DCs? Are there any traps? If so, what are the effects of the traps? What are their Search and Disable Device DCs? Are there any other noteworthy features of your dungeon? These are the kind of things you should do at the end of dungeon creation.
Find a group of players, schedule a time and place, and play.
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