Baby is full on screaming/crying.
Are they -
Hungry? No
Wet? No
Tired? No
Bored? No (if a toy doesn't distract them, they're not bored)
Panic! Is there something seriously wrong?
Is baby -
Obviously hurt? No
Hot or cold? No
Rigid or floppy? No
(All this takes less than a minute to check)
There's nothing wrong with your baby. Sometimes, they just cry. Cuddle them, sing to them, and let them get on with it.
You don't know what the heck you're doing with your baby?
Neither did anyone else, don't worry about it. Just do whatever you want.
Set a routine when you feel the time is right to start one, following your baby's cues, not because great Aunt Sally's nephews wife's sisters best friend had her baby in a routine at two weeks.
Ask for help.
Phone a friend who's parenting you look up to.
Phone the midwife/health visitor/doctor/NHS helpline every five minutes, if that's what you want to do.
Never google anything you think might be wrong with your baby, phone as above, or ask on here.
If you spot something odd (funny spot/rash/mark/poo/whatever), photograph it immediately. If it gets worse/changes and you end up at the doctors, you have the easiest way of saying "this is what it looked like when I first noticed it yesterday, this is what it looked like last night, and this is what it looks like now.
Don't buy in to all the toy gimmicks that your baby "simply must have straight away!!!". For at LEAST the first month, your baby wants to look at your face and the immediate area. They are in no way aware of the fact they have hands, much less how to use them, until three months+, and so rattles etc before then are next to useless. Even things like bouncy chairs are more or less pointless until a few months in.
Ultimately: do what you think is best at that moment, and enjoy every second. Xx