Chances are you already have a Team Project Collection (TPC) named DefaultCollection. If not then you can only create new TPCs from the desktop of your TFS server using the TFS Administration Console.
You will need to create a new Team Project (TP) from Visual Studio 2010 (VS); If you are using it from Windows 7 or Server 2008 R2 then make sure you run VS 'elevated.'. This is performed by connecting to your TFS server using the Team Explorer tool in VS; then right click on the node at the top of Team Explorer and choose the option to create a new TP. Give it a name (you can't change the name later, BTW) and choose a template in the TP creation wizard; The Agile template seems to be the most popular. For the rest, choose the default values.
Now you have a project and can start using TFS...
If you want to use it for source control, then one easy way to get started is to open your solution in VS while connected to your new TP, right-click on it and select the option to add it to source control.
Hopefully, that's enough to get you started!