Please note that this whole series is utilizing SharePoint 2010 SP1. 

If you want to start using content types, you are going to need a few things to get started.  The main thing that you are going to need is a site that you have sufficient rights to create and manage a new Document Library (preferably as the site collection administrator).

So lets create a Document Library in our Site. Start by selecting the Site Actions drop down in the upper left hand corner of your SharePoint Site.

Then Select New Document Library from the drop down.

Then enter your new libraries name and select OK.

Great now we have a brand new document library to play with.  Next up, we will configure the newly created document library to utilize content types.