Okay, you've got Eclipse installed, you've got the Android SDK installed, and you're ready to create your first Android app. Firstly, fire up Eclipse. You'll be prompted to set a working directory, someplace all your project folders are going to live on your filesystem. You'll also be shown a really webby-1.0-splashy welcome screen. It's even lamer than Visual Studio's "Start Page", so that's saying something, but I digress....close that welcome screen (it has a tab associated with it in the top left corner, though it's not readily apparent).
Before we create our first project, let's double check that Eclipse knows where the Android SDK is living. Go to Window-->Preferences, and click on 'Android' in the treeview in the left panel. Hopefully, you'll see that the SDK Location is set correctly in the right panel, and you should see various Android platforms on the right. If it is, cancel the dialog. If not, go ahead and browse to the directory where you installed the Android SDK (generally C:\android-sdk-windows), and hit 'Apply'. Make sure the list of SDK targets/apis/platforms populates, then hit OK.
Now we're really ready. Go to File-->New Android Project. You should see a dialog that looks like the below screenshot. I've filled in each field so you have an idea of what's required in those fields:

Project Name: Give it a name. The corresponding project folders in the filesystem will bear this name as well. You can leave 'Creating a New Project' and 'Use Default Location' selected.
Build Target: Which Android devices are you targeting and/or supporting? If you only want to support Android 2.2 devices, then select 2.2. If you want to do some fun Google Maps integrations, or any other feature that may requrie accessing some built-in-google-goodness, then choose the 'Google APIs' that correspond to the Android platform you're supporting. *Note: If you don't see the Google Apis listed, download them using the Android SDK and AVD Manager, located at Window-->Android SDK and AVD Manager.
Application Name: This is the name of that app itself. When the app is installed on a device, this will be the name shown in your Apps tray, under your shiny new icon (which we'll get to later).
Package Name: The general rule here (not sure who made this rule, but it's definitely recommended by Google) is that you'll want a reverse-order domain name style name here.
Create Activity: An Activity is, in Windows-speak is a 'Form' or 'Page'. Kind of. Really it's a view controller, a place for all your code that determines what buttons do what, and what should be displayed to the user.
Min SDK Version: Is terribly redundant. Note the last column in the list of Android targets in the image above. It's an API number. Make sure you choose the API number that corresponds to the Build Target you have selected.
Now hit the Finish button on this dialog. If you screwed something up, Eclipse is sure to tell you about it on this form. If not, congratulations, you have just created your first Android project! Of course, at this point it's as useless as Tom Cruise in a whorehouse, so next we'll work on adding some functionality.