Create a new wallet at myetherwallet.com

This process has been well explained at https://myetherwallet.github.io/knowledge-base/getting-started/creating-a-new-wallet-on-myetherwallet.html but I'll add some screen captures and examples just in case you need them.

Step 1 - Go to https://www.myetherwallet.com
Step 2- Enter a password.

Step 3 - Click the "Create New Wallet" button in the above image.
Step 4 - Click the "Download your Keystore / UTC file" button & save this file somewhere.

Now you need to store the password created in Step 2 and the file you've just downloaded in Step 4 somewhere safe just in case.
Step 5 - Click the "I understand. Continue" button
Step 6 (important) - Save the text below the following image somewhere safe

This is your private key
Step 7 - Click the "Save your address" button

Step 8 (important) - Enter the private key you copied from Step 6 to the box below

Once the private key entered, click on the Unlock button

Step 9 - Now on the right panel you will see your Ethereum address

At this stage, you've got an Ethereum address to receive tokens and a private key to unlock your wallet from https://www.myetherwallet.com to send tokens