The most important thing is to remain calm and think clearly. If you start panicking, you can lose control and end up losing your chance of survival. You're not going to do so well if you've driven yourself mad.
Look around for safety precautions. Is the area you are in safe? Are there wild animals? Risk of flooding? Establishing physical safety is the first important step.
Look for a clean fresh water supply. start by looking for food, but it is a fact that almost all "lost" people are found in a matter of hours or a couple days. You can live for 2 weeks without food but only 3-4 days without water. If there is no natural source of water, look at constructing a way to collect rainwater.