New User, New Wallet
Using the default client (which it appears you are) transactions received while the client is online will usually appear immediately but transactions which occur while the client is offline will not appear until the block containing them is downloaded. Based on your description this appears to be what has happened, so your transaction should show up whenever that particular block downloads.

You could also try punching your address into http://blockchain.info and you should be able to see your transaction as well as what block contains it.