First you think of the kind of game you want to play. Is it Bash-in-the-door? Plot-Intensive? Is it a running story, or unrelated adventures? Are the players just people in a large world, or do they have a destiny? Figure out your world and playstyle.
Next, you find a system to go with it. I recommend you stick with the new version of d20. Sage edition is okay, I don't know about Warhammer. Planescape from my understand is a bit outdated, and I've never heard of Deadlands.
Once you've got that sorted out, find some players, and organize a play time. Get that first adventure planned out.
The more planning you do, the smoother it'll be.
Before you start DMing, do you have player experience? It's hard to start DMing before you've played in a couple of adventures.