1. I make sure I can build and run it. I don't move past this step until I can. Period.
After that, if I don't have a particular bug I'm looking to fix or feature to add, I just go spelunking. I pick out some interesting feature and study it. I use pencil and paper to make copious notes. If there's a UI, I may start tracing through what happens when I click on things. I do this, again with pencil and paper first. This helps me use my mind to reason about what the code is doing instead of relying on the computer to tell me.
If I'm working on a bug, I'll first try and recreate the bug. Again, taking copious notes in pencil and paper documenting what I've tried. Once I've found how to recreate it, I clean up my notes into legible recreate steps and make sure I can recreate it using those steps. These steps are later included in the bug tracker. Next I start tracing through the code taking copious notes, etc, etc. yada yada. You get the picture.
After that, if I don't have a particular bug I'm looking to fix or feature to add, I just go spelunking. I pick out some interesting feature and study it. I use pencil and paper to make copious notes. If there's a UI, I may start tracing through what happens when I click on things. I do this, again with pencil and paper first. This helps me use my mind to reason about what the code is doing instead of relying on the computer to tell me. If I'm working on a bug, I'll first try and recreate the bug. Again, taking copious notes in pencil and paper documenting what I've tried. Once I've found how to recreate it, I clean up my notes into legible recreate steps and make sure I can recreate it using those steps. These steps are later included in the bug tracker. Next I start tracing through the code taking copious notes, etc, etc. yada yada. You get the picture.