The first thing any genealogical researcher must do is gather together all the information available within her/his own family. Such information can be documentary or oral. Contact everyone who might have documentary information, that is, family bibles, photographs, certificates, letters, diaries, deeds, anything at all - collect and store it all, you never know when new information will suddenly make some document valuable. In addition, interview anyone who might have information about ancestors that is remembered from family stories and histories.
As all of this information is being collected, you should try to start piecing together what you know about each person. There are many ways to organize such information, pick the one that suits you best. As you collate the information you will begin to see the gaps in what you know. These gaps show you the question you will need to research. This is where you begin.
Genealogical research is like conducting an investigation. In living his or her life, your relative or ancestor came into contact with the various civil and church record keeping entities of American, Italian, or other governmental or church bureaucracies. As you piece together your relative or ancestor's life, you will have clues to help you in your next step in your investigation. For example, you think your ancestor arrived in the Port of New York. This would have caused him or her to leave a "footprint" in the record of passenger arrivals. You then have to learn what sort of records were kept, where they are now, how can you access them and what will you expect to find in them. People's lives are captured in bureaucratic records when they are born, baptized, serve in the military, get a passport, marry, own property, do something newsworthy, apply for naturalization, apply for social security and in addition to other things, eventually die and are buried. Every bit of information you learn about them from your family or its records, will help you determine where their activities may have been recorded. You can then draw up a list of these activities and what you know about them. You then study where and how these records may be reviewed and what they have in them, and then you go and start the research - resulting in possibly many hours of toil in the archives .