Setting ESP8266-01 up with AT commands
We faced similar problems when using ESP8266 for the first time, Following approach to the problem was fruitful


ESP8266 is 3.3v compatible so to avoid problems make a simple adaptor circuit to make it compatible with 5v Arduino (find details here)
First thing you need to do is check and confirm if you are able to communicate with your ESP module, you can use any USB to TTL interface and connect ESP Module directly with your computer/laptop. (explained in detail here)
Use ESP8266 configuration utility, it will speed up the ESP Module setup and help get the desired product develop faster. (explained in detail here)    


Hope it helps.