Thanks for writing in.
You may first explore and setup the setting in the Theme Options area which you can find in Pro > Theme Options.
The settings available there are site wide settings.
After that, you can then create the header and footer of your site. Since you are using Pro, you could build your custom header and footer using the Header and Footer builder.
Please refer to this thread for an intro for the Header and Footer builder:
You may also start building your pages using Pro page builder which is Cornerstone.
There's is actually not specific order on which you should setup first as you can go over the options anytime when you want to change any setting.
Hope this helps.