The first step is to explore your memory, the memories of your living relatives plus any family documents or pictures that you have and then to sketch the outline of a family tree.
The next steps are to find the Census records from 1900 to 1940, the emigration records at Ellis Island and the other ports of entry, and then into the naturalization papers. With that information in hand, you can begin to search the records that exist only on paper or microfilm and are not yet available online.
I will tell you about the tools and websites I used to find my relatives. I will also tell you about the resources in New York City where I found a lot of information that has not yet been digitized and made searchable on the internet. Many of your immigrant ancestors may have passed through New York City on the way to where you are living today.
There were a lot of brick walls along the way but the adventure never ends as the family tree extends back into the past and into other countries.