For this you will need some coal and at least 1 iron ore.
These both can be found anywhere underground. Coal looks like a stone block with blacks spots in it, iron ore looks like a stone block with brown spots in it.
Dig around until you find some of each, then return to your furnace. Place the iron in the top square and the coal in the top square and then wait for it to do the work.
Note: you may want to take multiple stone pickaxes with you as they break fairly easily. It is also worth taking some sticks, that way you can create some torches as soon as you find some coal.