1) Announce your engagement. First tell those closest to you - your family and friends. Then share it with the world - throw an engagement party and/or print an announcement in the paper. If you want to be very 21st-century, launch a wedding website (check out this post by Jacklyn dedicated to doing just that).
2) Buy an agenda. Even if you're not typically one to carry around a huge planner detailing every minute of your day (or maybe especially if you're not), you're going to need some way to track all the meetings, appointments, information, and decisions over the next several months. Starting off by keeping everything written down in one place will help you stay less stressed throughout the entire process.
3) Set the date. You've probably already realized that the first thing people ask you when they hear that you're engaged is, "When is the wedding?!" If you're going to have a long engagement and aren't too worried about setting the date, don't stress yourself out about it. But its pretty difficult to move forward with the rest of your plans until you at least have a pretty good idea of when the special day will be. Next up (as far as the actual planning goes): set the budget and pick your venue.
4) ENJOY! No matter how long you are engaged (weeks, months, or more than a year), there will never be another time like this in your relationship. Make sure to schedule time for the two of you to have fun together (without focusing on your wedding), but enjoy the planning process as well. Many of us have spent our entire lives dreaming about our future weddings, but even if you haven't - and planning something of this importance does not sound enjoyable - figure out what will make this time pleasant for you and do it. One of my favorite ideas is to buy a journal dedicated to writing down special memories from this time that you can look back on for years to come.
And of course, we're here to help you with the entire process - from beginning to end. Enjoy your engagement and Merry Christmas!