1. Continue to read, collect equipment, search out for an super-simple recipe for your first time trying all-grain (BM Centennial Blonde, Ed Haus Pale Ale...both recipes found here). Leave the high-gravity beers, and the recipes with the complicated hop additions to later brews.
2. Sit down at your computer, and type out from start to finish how you plan to carry out your all grain brew. As Wayne (Bargain Fittings) mentioned, be sure to include every temperature, volume, and time. Describe what equipment you plan to use. Leave no detail out.
3. Post this procedure in the AG section and see what people have to say about it.
4. Incorporated the changes to your procedure, review your revised procedure, give yourself a full day to do it, take your time and go to town!
PS...note that none of us actually answered your questions!
Its impossible to predict what your mistakes will be and its impossible to give you tell you how to best go about brewing since everyone's system is different. Sorry about that, but it will be easier to help you out when you have a better idea what your system will be and what you plan to do.