On this page:
There is a video entitled "Duplicate Stitch Join" (or something like that) about halfway down. It shows how to weave in ends.
As for first project, it depends how ambitious you are!! A scarf is always a good first project, or a dishcloth or a basic purse. There are lots of free patterns found here: http://www.knittinghelp.com/knitting/free_patterns/