Theres been a lot of good advice so I'll chuck in some as well, hopefully.
First off, relax its suppose to be fun!
Second off, I approach this from a knifemaker's veiwpoint, I make knives for myself and a few friends who seem happy with want they get. The thing about making knives is at the end you have to sharpen it, taking it from completely blunt to razor sharp.
I use an extra course DMT diamond stone 6x2 inches. Establish your angle and apply steady even strokes with constant presure making sure your stone is held down firmly. Alternate evenly on both sides, knife steel is hard and it will take some time, longer than you think. When you have done its evenly on both sides, you should see the shinely blunt edge get thinner and thinner. Do it some more and eventaully, a wire edge you can feel will form so you know the two planes you have ground have met in the middle. Continue with the x course stone until a wire edge forms along the entire edge of the blade. The hard bit is over.
Use a fine DMT stone, I use a 2 inch long stone to remove the rough wire edge and smooth the rough edge from the x course stone. When the edge is smooth and very sharp you can use a leather strop loaded with white buffing soap or use the x fine DMT stone to keep a near razor edge.
I use DMT stones because I find them cut much faster than oil stones and easier to use than water stones. Fast cutting is good for maintaining the correct angle. A set up I use is 2x6 inch x course DMT stone and a set of 3 DMT mini stones with course, fine and x fine.