You should warm up first. I'll generally ride the recumbent bike for 7-10 minutes -- enough to get my heart rate up to the high 120s ... but not enough to make me winded or make my muscles burn in any way. I'm really just doing it enough to get my blood flowing and my joints loosened up a little. After that, I'll stretch whatever body parts I'm working that day. I'll use static stretching (i.e. just standing or sitting there stretching the right muscles), dynamic stretching (i.e. stretches involving movement a bit more, like box jumps on leg day), and foam roller.
After that, I'll ease into my lifts. If bench, I'll do *just the bar* until I'm ready to add weight, which is usually after around 50+ reps. I'll do bar-only on squat before adding any weight. And on deads, I'll do some stiff-legged deads with just the bar to stretch out before adding any weight.
Just be sure you're feeling limber and your joints are moving freely before you start adding weight. Also, don't feel compelled to add weight too quickly. Speaking from experience, that's a good way to hurt yourself. Check your ego at the door and work from the ground up.
Finally, something Gerry told me when I first started is a great thing to keep in mind: being sore is okay, but pain is pain. There's a difference between sore muscles and straight-up pain. Acknowledge that difference and avoid the latter.
One other note: if you've never done weight training, you may want to spend a couple of weeks doing lots of ab exercises to prime your core. A stronger core makes doing all the various lifts safer and more effective. When I first started, I basically spend the first 3 weeks doing 40 minutes cardio, 200 ab exercises, and 40 minutes of cardio ... 5 days a week. It sucked, but it was good for me. I'm also a fatty, so YMMV.
