In order to use the supplies you brought with you, you must first transfer them to the warehouse. You wont be able to build anything until you unload your supplies.Go to the info mode and click on your ship, which should be anchored in front of your warehouse. Clicking the wooden crate opens the loading menu, where you can load and unload your ship. In the loading menu all supplies have been divided into 4 categories: building supplies, weapons, consumer goods, and raw materials. Choose from these categories the goods you want to load, or unload. Fields representing supplies not available are darkened. A yellow frame indicates which supply is currently selected, and can be loaded or unloaded When you place the cursor over a supply, the info bar will display how much of that supply you have on hand.

A red bar in the field will give a general indication as to the amount. Use the arrows to load and unload. The numbers indicate the amount in tons transferred per mouse click. At the bottom of the menu, below the name of the ship, you can see which supplies, and how much, are on board your ship. Directly above this you can see the status of your warehouse and the name of your new settlement. To transfer supplies from your ship to the warehouse click the supply you want to transfer, set the amount, and click the arrow pointing up.
The general rule for loading and unloading supplies is: the arrow pointing down is for loading supplies from warehouse to ship, and arrow pointing up is for loading supplies from ship to warehouse. At the start of the game you should keep your warehouse as full of supplies as possible. This is the only way to make sure you have enough building materials on hand for the first few buildings.

Now click the construction menu to begin building your settlement.