How to: Working site w/ Joomla?

How do I start?

My pictures for the background, etc. I have.

Getting Started with Joomla! 1.5 - Joomla! Documentation

Do I start with modules or menus?

Do you have to use Joomla? I used it when I started at my education but than I found Wordpress and was enlighted!

Not a fan of Joomla either, but the site you’ve linked to has a Beginner’s Tutorial page which gives you a step-by-step guide on how to build a Joomla site:

I’d also suggest Wordpress over joomla as it has a much smaller learning curve.