You mine iron ore and refine it in a forge to make ingots. In the map below notice the three dark areas around Graycott and you can find iron ore there, as well as in the western forest area and also inside Hollow Tunnels which is near the starting location. Be warned as dungeons are full of monsters that are not easily dispatched by low level players. However, there may be a few deposits accessible before you reach any monsters tho, not exactly sure. You can also find Dark Iron ore in there, but unless you are already using more advanced pick axes and have plenty of extra room I'd hold off mining any of that. You can always get some later.
I think there are some deposits in Maiden's Last Rest, but thats on the southern area of the map and likely won't need any by the time you get to it or just use the other locations more easily.
You mine Brimstone which is found in the desert near the starting location (looks like large bronze crystals) and use it with Iron ingots in the forge to make steel ingots. You can further develop this into Dark Steel when you find Dark Iron ore, which is required for Dark Steel weapons, but that will come later.
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