Your world doesn't really exist until you map it out!
Start with paper and pencil. Some people start by drawing a continent, followed by mountains and then rough political borders dictated by the geographic features. Others start with a village, then the surrounding countryside growing into a country and then that country's neighbors. Some make lists of criteria that they want their map to have and then start designing bits to match and finally join the bits together.
It doesn't matter. Just draw something. If you don't like it you can always change it or start over. Just the process of putting something down can get your creative juices flowing.
Add Some Detail
Think up some names. Name the countries, cities, forests, mountains. Start adding towns and give them names. What kind of people live in the various areas? Where do the dwarves and elves live? Is there a Orc Nation hidden in that forest? Add as much detail as you can.
Your Starting Area
Where will new characters start out? They'll need some sort of base camp. Usually a town or village. How big is it? Is it walled? What is just outside? If your players will be starting out with level one characters, you'll want the immediate area to be free of high level monsters. They'll need some places to explore that are appropriate for their level. Dungeons, swamp temples, forests all make exciting locales. Think about what kind of monsters might be there.
Zoom Out To See The Whole Country
This starting area is probably part of a kingdom. Where is the king located? Where are the main cities in this kingdom? As characters travel away from their starting area, the level of the monsters should rise slowly so the characters will have something to fight without being overwhelmed. The main roads should be fairly safe and the area around the populous areas should be all but monster free. But there should be lots of open spaces for the monsters to roam.
Meet the Neighbors
Are the neighboring kingdoms friendly? Are they at war? Do all the kingdoms have to band together to fight off the monster attacks? Maybe the neighboring kingdoms aren't human. They could be Dwarven, Elven, Orcish or Lizardmen. If the starting kingdom adjoins the sea, are they a seafaring people? Where do they go? Who do they trade with? Many kingdoms form alliances and intermarry to strengthen bonds. What are the relationships of the neighboring kingdoms? Monster levels should continue to climb as you move further out from the center.
The Rest Of It
What's past this central hub of civilization? Is there more civilization? Evil kingdoms? Unexplored lands? Huge Orcish empires? What's not already represented that you want to incorporate into your world?
There are probably powerful characters who have come before. Instead of living in a city, they may have built an isolated keep or tower in the middle of nowhere. There could be an enclave of sages hidden away somewhere that characters would need to seek out for advice. Or a secret society working towards the infiltration of various power bases.
Add as much as you can think of. The more detail you build into your world, the easier it is to describe it to your players. Any of these things can prompt adventurers as well, saving you the trouble of figuring out how to set up a hook to get the characters started on a quest.
Pretty Up The Maps
In the links section there are various cartography programs that can create some truly amazing maps. There's a bit of a learning curve with each but the results are well worth the time to learn them! The best part about them is once you have your world map entered in, you can zoom to regions or even small areas to make detail maps.
Not Done Yet
Your world is done. It's all mapped out and beautiful. Now what? Well, your players still need a place to go adventure. You know there's an encampment of Orcs in that forest but you'll want a detailed map of where they are all located so your players can plan their attack on it.
And what fantasy world would be complete without some dungeons? You'll want to design a few so you can stay ahead of the players and be prepared when they suddenly want to go adventuring further away than you had anticipated.
These same mapping programs are designed to help you draw dungeons as well. Plus they come with all sorts of additional graphics to help fill the dungeons in order to give them some atmosphere.
Easy As All That?
Ok. So it isn't easy. But hopefully, you'll find it to be fun. Creating the world and designing the dungeons can be one of the best parts of being a DM.
I will be writing a number of articles on map making, dungeon design, encounter considerations, etc. Plus, each of the map making programs have forums for their users and downloads available that you can use or adapt for your world.