So you have a spindle or wheel and fiber, now what?
You need to start by predrafting your fibers. Drafting is the process of sliding the fibers to the right thickness for the yarn you want to spin. The more you draft, the thinner your yarn will be, the less you draft the thinker and chunkier it will be. As you progress you will learn to do this as you spin, but to start, it is easier to predraft them and spin the roving without a lot of drafting happening during the actual spinning.
Take your roving and carefully split it down the middle to form two strips instead of one. You can do this again with each half to make four pieces for a finer yarn, or split in two for a thicker fluffy yarn. Either will usually be a good diameter as long as your roving isn't too thin to begin with. Try for a size that is somewhere around the size of your little finger. Predrafting will let you concentrate on getting a good twist, this allows you to concentrate on the task of spinning the spindle, or treadling and maintaining a good twist. To start always spin your spindle/wheel clockwise to add twist.
Twist refers to how much, or how many times the spindle/wheel turned in a given distance, usually one inch. So if you spin the spindle/wheel 6 times for each inch you have drafted, you get a tpi (twists per inch) of 6. Twist can be very challenging to control for a beginner. You want to aim for yarn that doesn't easily pull apart, but isn't so twisted that it wants to knot up and look like a big mess. This is hard at first, because the thin areas will absorb more twist than the thicker places. As long as your thicker areas are not coming apart you should have enough twist, and needn't worry about the thin areas because they will have more twist than the thicker places. In the beginning, you want to get control of the twist rate, try not to worry about the yarn being big and thick in places, and tiny and thin in others. Just try to keep your twist under control.
These are examples of a good twist on the yarn. Notice the thick and thin areas? They will knit up and lend a beautiful texture to the finished product so don't worry about that. This is what most beginners will make for the first few hundred yards, it is very soft and lovely worked up so enjoy spinning and avoid frustration by accepting that your yarn will look like this for a while and THAT IS OK!!!
Do try to add enough twist to keep the fibers/yarn from drafting apart when you give a little tug. Try not to add too much twist, as this will make a knotty hard yarn that is harder to work with. If you get some that looks like this one above, then you have over-twisted the fibers.
For a spindle, simply let the spindle go back around counterclockwise until the extra twist is removed, and begin again. Be sure that you only allow the spindle to spin clockwise, unless you need to remove the twist, later you will spin it counterclockwise to ply your yarn.
For a wheel i's usually easiest to just wind it on the bobbin and try again. Alternatively you can break off your roving and let your length of yarn un-spin some, then join back on and try again. If your yarn is over-twisted, the bobbin will not take it up, so if suddenly the yarn won't go in, check for over-twisted yarn.
Now that you have predrafted your fiber, and understand what you are looking to produce, you can go on to learn how to spin with a spindle or wheel.