OK, first, take a deep breath.
I just went through this for the first time (for a client, no less) and it was rather painful but it all worked out in the end.
WordPress is built around templates. Imagine your site being torn into a bunch of small pieces and being reassembled-and working correctly. This is how WP works, and it actually rocks.
If you can find a template that is similar to what you want to do, this is definitely the easiest way to go. If you are stubborn (like I am) and want it to match your psd exactly, I suggest you learn how to create your own template. It’s the only way to go if you are as anal as I am.
First: buy the book “WordPress for Dummies”. Yes, the name bites, but is actually pretty awesome. Whatever you do, don’t buy “WordPress Theme Design”. This book is perfect for non-designers who need help with layout and design. It is useless for anyone trying to design a unique site.
You want to start off by building the basic absolutely necessary code needed to make WP work. Ignore your design completely. You can add your functional coding and html/css to this working framework after you’re sure you have the basics in place. I also recommend you take a look at templates included in WP. Study the page names and structure, and compare to your bare-bones coding to see what people do and where they do it. DO NOT download other templates to check out their designs. I did. Half of them were not editable and couldn’t be deleted through FTP.
Finally, be sure where and how you want to install WP. My server had a nice installation set-up, but it wasn’t upgradable given their settings. I finally had to ask my server company to unlock pages on my client’s site so I could delete their crap (files were not deleting with FTP), and upload a clean version where I wanted it and how I wanted it to work. WP has a great page on a quick install (they call it the five minute install-but this is kind of cute, given upload times and assigning a mySQL server and such).
Anyway, back up everything you do, be patient, and keep in mind that it is definitely worth the the time and trouble.
