Probably the first thing I would do is have a panic attack and/or run around screaming, wondering if I was in a dream, not to mention going through all five stages of grief.
Then, once I could collect my thoughts well enough to think rationally, my first concern would obviously be for food and shelter. I would go to the nearest supermarket and raid the shelves of anything and everything that might help me survive on my own. Food, water, clothing, blankets, survival gear like knives and a compass, and probably a gun or two for protection. This would actually be a fun part--finally getting to take whatever I want.
I would then set up a base of sorts in the most defendable building available while I gather some resources.