A CMS is a system that separates the content of a web site (the text, images, and so on) from the framework of linking pages together and controlling how the pages appear. In most cases, this is done to make a site easier to maintain than would be the case if it was built exclusively out of hard-coded html pages. At least, that is the goal.
First, get a clear picture in mind of what you're going
to want to do with it. Spend as much time as you need to make that mental picture
as crystal clear as you can. Most CMS offer ways to expand them or to add functions,
but you're way better off to start with the right system.
Once you know what you want, try out a lot of them. Look for the one that does
what you need it to do with the minimum hassle. Try to find the one that looks
and works closest to your ideal. The less customizing work you have to do, the
better.
Pay particular attention to the admin interface, since that's where you are
going to have to do your work. Make sure you understand what all of the options
do.
Check the forums and find out what other users have found out.
Check the way your data will be dependant on that system !