First time playing DnD and using roll20

As this is my first time I don't have an existing character. How would making a character work? Will I be prompted when joining or do I make my own and then work off that sheet? 

It depends on the game master, but most likely you need to join the game, and the game master assigns you a character sheet in the game, and then you fill it out.

I agree with Andreas, it does depend on the game master, they may have a certain process/ettiqutte they use for making characters and also what source books they may have purchased on Roll20 has some effect on how easy it is.  The easist route is as Andreas states, you join a game and the GM has created a character sheet for you that you can access.  There are many types of sheets, and your GM may have a specific they use, but for D&D, it will most likely be the 5e Sheet  It may seem overwhelming at first due to the amount of options but your GM will help you through it.  There are some help articles on 5e sheets here  and there is useful wizard that takes you through process step by step called the charactermancer with some info you can find here