From the author's description:
"Dwarf Fortress is a single-player fantasy game. You can control a dwarven outpost or an adventurer in a randomly generated, persistent world."
Help getting starting can be found on the Dwarf Fortress Wiki. In particular:
The wiki has a guide to creating your first fortress that's well worth a look.
There's a 5 part guide available by Abalieno here.
There's another multi part guide to getting starting on Bill Harris' blog. The first part is here.