I published several posts with the intent of getting fresh designers off to a good start. All the post can be found here: http://aviadezra.blogspot.com/search/label/UML
In most cases you start from modeling the physical architecture of the system using deployment diagrams, the post 'Modeling the System Physical Architecture' starts by showing simple use of the deployment diagram in which we only present the nodes and their inter-relationships, and complete the picture by including the components and the applications that run in the nodes.
In the next stage we describe the logical architecture of the system using component diagrams, the post 'Modeling the System Logical Architecture' starts by showing simple wiring of logical components and complete the picture by including the interfaces exposed/required by the components and illustrating the way in which they are wired together.
In case you’re designing parallel application you start by showing the parallel workflows using activity diagrams, and complete the picture using sequence diagrams and class diagrams, the post 'Modeling Parallel Applications' will walk you through the entire process.
When entering to the detail design stage you use class diagrams to describe the problem domain in terms of types of object (classes) associated with each other in different ways, the post 'Association, Aggregation and Composition' explains the 3 variation of the association connector used in class diagrams.
Next you use sequence diagrams to show how the different objects interact with each other; a common issue with sequence diagrams is how to show conditions and iterations, the post 'Interaction Fragment' explains how interaction fragment operators (Alt, Opt, Par, Loop, and Region) can be used for that matter.