In Call of Cthulhu you play a normal human with no special power and you will have to face Cosmic Horrors.
#1 - Download a character sheet
Ask your Keeper for the Era of the game and choose your character sheet accordingly.
#2 - Investigator's occupation
Think about what's the occupation of your investigator will be. You can find more information on each occupation in the Investigator Handbook or some in the Quick-Start Rules.