Downloading more software is not necessary, but it helps when managing multiple waypoints.
Using your GPS to find your first cache is as easy as entering the listed co-ords on geocaching.com into your hand held. If it is your first cache as you say, learning to input the co-ords manually will help you get to know your GPS better.
Start by going to your mark a waypoint page then add the new waypoint and name it.
I suggest to start by finding a cache close to home with low difficulty. A 1/1 for example, and at least a regular size, (especially in winter) a 8 x 12 inch rubbermade container or ammo box ect. all of this info is listed along with the cache you want to find.
Now get out there. The-Stuntman