One of your first stops should be Visitors Information Center. Here, you'll be able to orient yourself and get some great tips before you start exploring.
You're spoiled for sightseeing choice when spending time in Jamestown. Visitors Information Center is a good place to start here, but there are numerous other interesting sights to explore. World's Largest Buffalo, Trail of Louis L'Amour, and Frontier Village are not far from the tourist information center and will top off your day nicely.