Premiere is able to keep backup copies of your projects as you edit. This is an incredibly useful feature. In Premiere Pro it will save these old versions to a folder called "Adobe Premiere Pro Auto-Save" which will be a subfolder of your regular project file.
Once you have your timeline and project in operation, make sure you save it to your hard drive straight away. The auto save feature wont start working until you save the project file somewhere.
OK, that should be all. You can now go and edit your video. Be sure to check out the guide on how to export your video from Premiere Pro once you are done.