Without cheating, you'd first need to craft a pick and go looking for dark colored boulders (I think) Beating these with a pick should get you stone but also has a chance of raw iron ore.
To turn the raw ore into bars you need a furnace, which the game should give you a prompt to build once it becomes available, and of course assuming you have the materials. Like cooking meat fish and crabs on the campfire, the furnace will have to be started/lit, and the raw iron ore physically dragged and placed inside. It should eventually "become" bars the same way meat becomes cooked. The thing has a weird shape, though, and with the physics in the game the ore will just fall right out if you're not careful, so you may need to wrangle it a bit. I don't think I've ever processed more than four ore at once, and even that was luck.