If you use MultiBit, the first time you open it you'll get automatically a new wallet, the wallet's number can be found in tab "Request" you copy that number and you paste it on the website of Slush's pool. I prefer to use BitCoin-Qt, but sync with the network is a real pain and is terribly slow so I wouldn't recommend it, however I made my first wallet in MultiBit. You maybe didn't mine anything, therefor you didn't get any coins and no payouts, if you did mine something and got BTC and it doesn't show in transactions of your wallet software then you probably put wrong wallet number (tho I think that if you type invalid wallet number it pops out error, but I'm not sure).
If you decide to create a new wallet and you would wish to put BTC from the old one into a new one you could simply send money from the old one to the new one using MultiBit, BitCoin-Qt or Armory.
That's all the help I can give you, since I know only that about wallets. Also make sure you protect your wallet with additional software if you are using MultiBit since it has no encryption built in, BitCoin-Qt does have that option as well as backup, I never used Armory so I can't help you with that.
I hope I helped a little at least...