There seems to be a lot of confusion when it comes to creating an IOTA wallet outside of an exchange. So I am writing this to simplify things a bit.
First head over to https://iota.readme.io/docs/general
Click on the download link
Click on the respective download for your operating system
Save or run the file and open the application.
You will be presented with this....
Here is where it seems to get CONFUSING for some.
The IOTA wallet needs a seed to create your personal wallet. This key needs to be 81 characters long and consists of A-Z and the number 9. That is Uppercase letters, a-z will not work. To create a truly random 81 character seed you can head to http://www.unit-conversion.info/texttools/random-string-generator/
Delete the lower case letters and 0-8 from the upper box
Change the number of strings to 1
Change the length to 81
Click generate
Now copy the newly generated 81 character seed and save it you will not be able to access your wallet if you lose this.
Paste it into the iota wallet and click login.
Congratulations you now have a functioning IOTA wallet and a way to store IOTA off of an exchange.