First thing I learned was the drivers have to be installed properly. That usually takes an app called ZADIG. and follow instructions carefully.
First time running SDR# a dialog should open showing a few settings. Defaults should work if you have something of a decent antenna connected.
This will show the drivers are installed and working.
You can start with that POS antenna that came with the dongle.
Press the RUN button and enter a frequency for a local FM BC station.
Now your waterfall display should show a couple or few spikes at FM BC frequencies.
This will tell you the setup is at least working.
My Baofeng antenna takes 2 adapters to connect to the dongle and not a very good antenna.
Now toss that garbage antenna that came with the dongle and shop for a decent scanner antenna/coax, and connectors.
The rest is getting your driver configured for optimum performance.
Then setting SDR# for your desired displays and frequency settings.
This is all a hefty learning curve for a novice, but the more you play with it the easier it gets.
Cheers.