The Southwest website has a tutorial on how their boarding process works. There are no assigned seats, but when you check in online you are assigned a boarding group and number. Groups are boarded in alphabetical order (so "A" is the first to board), and the number (like "A-14") indicates your spot in line within that group (here, the 14th person). There will be signs that tell you where to stand based on your number. (Online check-in starts 24 hours in advance for some reservations; for others, you have to check in at the airport. The earlier you check in, the better your number is.) When you board, you just pick whatever seat on the plane you want that doesn't already have someone sitting in it.
For future reference, there are a few ways to make sure you're in the first boarding group (from the same site):
If you want to be one of the first to board, buy a Business Select
Fare to be guaranteed a boarding position at the front of the A group.
Rapid Rewards Members with A-List and A-List Preferred status and
Customers who buy EarlyBird Check-In™ are also automatically assigned
boarding positions before everyone else, ensuring the best boarding