Start up InDesign and go to File then New, and select New Document. In the menu that appears choose the paper size (in the US the most common one is Letter (the default, A4 is used a lot in Europe and Asia, and then A3 is a bigger double-A4 sheet).
If you want columns you can also choose how many you want (For a standard Letter-sized newspaper or magazine 3 columns is usually a good number). InDesign will automatically create blue guides that space out your columns for you (as you’ll see when you press OK).