The way that I learned to be a Game Master (and my suggestion to you) is to start with a dungeon and work outward. That will take a lot of the pressure off of you at first.

My process was to start by building a dungeon. That will help you become familiar with the rules. Or, use the dungeons in First Fantasy Campaign, since they are already developed. My next step was to have a village where players could spend their loot, and the path linking dungeon and village so that they can adventure on the way there and back. Again, the village of Blackmoor from FFC is a good starting point if you don't want to create something from scratch. This allows for local adventures in the town, gets PCs meeting interesting NPCs, and so on. Third becomes expansion into a larger region and the wilderness exploration phase. At this point you've got a real campaign going.

An alternate approach would be to track down some short adventure modules and build the campaign around those. Keep track of NPCs encountered and find ways to bring them back into the game. Keep track of things the PCs do to change the world around them, and modify later modules to reflect those changes. This approach is a lot less freeform and may be more to your liking. There are many Blackmoor plot arc modules in the MMRPG download section.

Nowadays there are so many resources out there that one might be tempted to skip steps and just throw players into a full campaign, but I think that this can be intimidating for a newcomer GM and if you feel overwhelmed at the onset you aren't likely to stay with the campaign for long.

Just my two coppers.