The First Stage
As soon as you believe yourself to be lost, stay calm and assess the situation. If you can accurately deduce the direction from which you came (meaning 95% sure), then return in that direction. Following your footsteps in soft ground, up turned leaves, or visual sighting is a safe bet. If you have a cell phone and a signal, use it to call help and stay put. If you have a GPS which shows trails and road markers, use it to navigate out. You can also make short recon trips to locate a trail. Mark your trail so you can return to where you currently are and not venture further into trouble. Mark your trail with broken branches or another means of identification.
Inventory your available supplies. An inventory includes everything you are carrying including the items in your pockets and what you are wearing. Everything you have with you just became a survival tool. Water, shelter and warmth are your three primary concerns at this point. Take stock of any food such as energy bars, candy and especially water. Then determine a rationing plan. Remember that you will need much more water than food throughout the course of a day to avoid dehydration. Also determine from your inventory how you will start a fire. Matches and lighters are great, but without them fire becomes more challenging.
If you cannot find a way to civilization, shelter and fire should be your next focus. The only exception to moving from your current position is to adjust your location to an area where there is more visibility from the air. In a rescue situation if you are hidden beneath trees and brush you will most likely not be seen. A tent or plastic sheeting will greatly simplify the shelter building process. If such items are not available, a lean to with enough cover to help trap heat is sufficient. However, if it is or will be raining, any shelter you make will need to have much more protection from the elements. Also look for rock outcroppings, over hangs and small indentations to use for shelter in these cases.
A fire is a source of warmth and a means for signaling, as well as an enormous psychological booster. Making a fire is an easy task with matches and lighters. The basics include fine dry material to catch the flame, followed by progressively larger fuel as the fire builds.
If you do not have matches or a lighter, do not panic. Fires may be built with flint and steel, the bow method, or even by exposing the wires from a flashlight bulb and touching them to cloth while the light is on. These methods can create a small ember or fire that you can then build on. Remember to use all of your available resources but use them wisely to survive.