Most equipment is made in a Forge. Open the Equipment icon (the helmet) to see what you are wearing.
A Quick Matter Knife is a good first weapon:
Left click the item, then choose a slot. For a knife, use left_arm or right_arm. Odd slots, and stacking multiple items in one slot, need an Auto Doc.
Each slot has capacity, shown like 0/3 Cap Used. To use more of that capacity, or to install something in a strange place, stand on an Auto Doc. That is surgery. It uses the same kind of skill check as manufacturing. A failed surgery damages you and destroys everything in that slot.