Prioritize with the Rule of Threes
There is an easy shorthand method to help you prioritize your decisions in a survival situation. A person can live for: three minutes without air, three hours without shelter, three days without water and three weeks without food. Assuming that your survival situation is not underwater, then your most pressing problem is likely finding shelter or heat, then water, and food a distant third priority.
When seeking shelter, look to the natural features of the landscape first. While you could build a lean-to shelter from scratch, its insulating properties are likely to be severely limited when not in consideration of the environment. Natural caves or overhangs are the best places to seek shelter, since they require only the covering of a single opening. Another useful location are depressions created by large tree roots. These areas are likely to be sheltered from the wind. Once you have found a location, wall off any exposed sides with a combination of vertical support branches and crisscrossed insulation branches.
Building a Fire
Without any other materials building a fire can be one of your greatest challenges. Your best option would be a friction fire, which will require a broad and flat piece of dry wood coupled with a solid hard wood branch. Make sure that both pieces of wood are completely dry. With a rock, hammer a groove down the length of the soft wood. Begin scraping the tip of the hard wood back and forth in this groove. The rapid movement should tear up tiny flakes of the softwood, which will eventually ignite due to friction.
To find water, you will typically need to travel downhill. Look for and follow animal footprints, which are likely to lead you to a water source. If you can see a number of birds, this likely indicates a water source is nearby.