The big thing to learn about monero is that to transact, you need to run a node. Technically you could find a public node that accepts external transactions, but those don't really get advertised and if your goal is anonymity then you don't want to depend on someone else's machine.

So before you set up a wallet or anything, start downloading the monero blockchain. You can either find someone (you trust them?) to export their blockchain for you to download, or you sync the entire blockchain yourself. This can take many days depending on your computer specs and the settings you enable during sync. If you're not planning to mine monero, you can save storage space (and time) by enabling settings that prune blocks.

Then you point your wallet software at the locally running node to transact. If your node isn't running or isn't synced, you'll have to wait until it's caught up before you can do anything.