GURPS characters are created by spending character points. A good default for a player character (PC) is 100-150 character points (see Power Levels of Character Points Examples.
Characters are defined by their General Rules/Attributes, Skills/Skills, Advantages, and Disadvantages.

Attributes:

Attributes should be purchased before skills.
Each attribute starts at 10 (human average) for free. They can be increased using character points. Attributes can also be reduced, refunding points that can be spent elsewhere, but a good rule of thumb is that PCs shouldn't have attributes below 8.

Strength (ST): Sets Hit Points (HP) and Basic Damage (Dmg). Costs (or refunds) 10 points per level.
Dexterity (DX): Helps determine Basic Speed. Costs (or refunds) 20 points per level.
Intelligence (IQ): Helps you notice things and resist fear. Costs (or refunds) 20 points per level.
Health (HT): Governs how well you resist bad effects, determines your Fatigue Points (FP) and helps determine Basic Speed. Costs (or refunds) 10 points per level.

Example:
We want to make a warrior. Warriors tend to have high strength but low intelligence. We spend 50 points to raise our ST to 15, since it costs 10 points per level. We lower our IQ to 8, returning 40 points, since it refunds 20 points per level. We keep DX and HT at their default values of 10. We have spent a net total of 10 points and have 90 points left to spend.

Secondary Characteristics:

These are derived from attributes, as follows.
Hit Points (HP): Your body's ability to sustain injury. Your HP are normally equal to your ST.
Fatigue Points (FP): Your body's “energy supply”. Your FP are normally equal to your HT.
Basic Speed: A measure of your reflexes. Your Basic Speed is your HT and DX added together and divided by 4. Do not round off – a 5.25 is better than a 5.
Basic Move: A measure of how far you can run in one turn, in yards. This is equal to your Basic Speed with no fractions; e.g. a Basic Speed of 5.25 gives a Basic Move of 5.
Damage (Dmg): The damage you do in combat. SeeMelee Combat for further details.
Willpower (WILL): Your willpower, usually used to resist things. Based off of IQ, costs 5 points per level.
Perception (PER): Your perception, used to notice things via your senses. Based off of IQ, costs 5 points per level.

Example Attribute Scores