After creating your repository GitHub will give you a page describing how to set up git to work with your new repository.
Follow the steps in Global setup. This configures your identity. Make sure to upload your public key to GitHub.
Next follow the steps in Next steps. This connects up a local directory with your GitHub repository and creates an empty README file.
Once your local directory is connected to your GitHub repository, click the When you're done - Continue link. If you managed to upload a blank README file it will take you to your repository page on GitHub. If there was a problem, it will leave you on the instruction page - in that case go back and see what is wrong.
Continue on when you've got your repository set up and connected to a local directory.