Explain your problem, and what program you are talking about. There's three: Dream Seeker (client to connect to games), Dream Daemon (host for hosting games) and Dream Maker (program to code DM in).
First click on New project in the file catagory, and you will be prompted for a few things. Fill out these with whatever names you might want.
Now select new from the file drop down again. Dont select new project however. from the selections, select an icon file, and give it a name.
you should see a blank screen on the right side, with only two buttons, one a pain pallete and the other a camera. select the pallete button. This will start a new icon.
Draw an icon using the tools on the left side of the draw window, and when you are finished, select save from under file.
there will be a tree of files one the left hand side of the screen, and you can now double click the one called "????.dm" this will empty the right side of the screen, but dont worry.
supposing that you drew a person before type this on the right side of the screen:
<pre> mob/player icon='WhatEverYouNamedIt.dmi' world/mob = /mob/player </pre>
now find compile on the top menubar and select compile. it should have no problems, but if it does, the check your typing.
this doesnt do anymore than give you a way to run around in empty space, but its a start. now i would suggest reading Zilals excellent tutorial number one.