To create a sitemap first you need to download a wordpress plugin. you can get it from the creators site Here

Once you have downloaded it, unzip and upload to your plugins directory. using FTP got to you root directory then its /wp-content/plugins/

Once uploaded activate it in the wordpress admin / plugins section

Then configure it in wordpress admin / options / XML-Sitemaps

You may also need to upload 2 additional files sitemap.xml and sitemap.xml.gz to the root directory of you wordpess install, you can create them on your desktop as blank files then upload them and CHMOD 777 so the pluging can write to them.

Once you have run the plugin the fist time it will automatically ping Google and other SE’s to notify them of your new sitemap, in the future new posts should automatically get rebuilt into the sitemap.

It is also good to let Google know the location of your sitemap in your google webmaster account, but i will cover that in more detail in the future.