Here are some questions to help you get started:
Where will the story take place? Will it be a magical world? Will there be demons, witches, ogres, made up animals?
How much ground will the story cover? Will you need to draw a map to keep things in perspective? How long will it take to travel to whole of the land?
What are the most striking features of landscape, climate, animals, etc. in this area? What are the dangers? Where should your characters avoid? Where are they safe?
How will these features affect travel time, communication, etc.? Do you have technology? Is your world more medieval?
Are there are non-human inhabitants and are there any areas they particularly claim as their own? Are they dangerous? Can you characters defend themselves against them?
Is magic used by the people in general or by a select few? Are there limits to the powers? Are there consequences when magic is used? Maybe it won’t be used at all.
Who or what live in your world? Are they three eyed monsters who only eat green leaves? Dragons who breath deadly vapours? Wizards who cast many a spell or just ordinary humans? Write about each variety of creature/human in as much detail as possible so that you know them inside out.
Do the inhabitants think in terms of days and weeks, miles and kilometres or is their world governed by the passing phases of the moon and distances counted in leagues?
Think about everyday clashes within the inhabitants and amongst all of the inhabitants. For example, if you have people that use magic but only a selected few have this ability – will there be conflict between the people who do use it and the people who don’t? Will the users feel they are superior? Think about religion and politics too and how these things affect your characters.
Think about things like how many suns/moons circle your world, the fauna and flora, the animals and the seasons.
How do your characters travel the land? Are there only horses and wagons, or do they have trains and air craft?
Think about the neighbouring kingdoms of your land. Are the inhabitants friendly or hostile? Do the kingdoms trade goods, fight, have different beliefs?
Consider doing a timeline, showing the history of your world for the last 200 or 300 years. Make sure you include at least one major event in each 100 years.