First, think about what kind of character you want to create. Choose a faction. Do you want to be an Aes Sedai, Asha'man, Citizen or even Aiel? Remember that both male and female characters are welcome in all factions.
Secondly, choose a background for your character. Are they male or female? What nation are they from? What are they like?
Once you know your gender and country of origin, choose a name. This will be the name you register with. As a general guide, Andoran names are traditionally Western-sounding; Borderland names can sound Eastern European; Cairhienin names are often French-sounding, and Taraboner names often have a Middle Eastern ring. The al' prefix is found most commonly in Andor, particularly near the Two Rivers. Aiel have one name, plus a clan and sept. Atha'an Miere surnames begin with din, and older Sea Folk characters would have a salt name, which comes after their surname (ie. Harine din Togara Two Winds). Murandians generally have a double-barrelled surname, using do and a' (ie. Elaida do Avriny a'Roihan).
Finally, think in more detail about your character. This is where you character application comes in. What do they look like? What things do they like / dislike? What is their family like? If you have a channeller character, how strong is he or she in the One Power? What are their elemental strengths?
Above all, make sure that you have a character who is interesting, who has room for character growth, and who you can empathise with. You don't have to go overboard with your character - sometimes simpler is better - but make sure you give them a few quirks, little things that make them unique. Most characters will be starting out around puberty, so they won't be overly strong, or wise, or experienced. These are things that they will gain throughout the time you roleplay with them - that's the fun part.