Here’s some info and some advice. . .
The squares can be as big or as small as you like. Just keep in mind that the smaller they are, the more sewing together you’ll have to do:) . The yarn can be any weight you’d like, but at least for your first blanket, I’d keep the squares all the same size. There is a crucial part of knitting-- one of the biggest mistakes knitters make is ignoring this factor-- and that is tension. We do (if we’re smart) what’s called “swatching”, that is, making a swatch of the pattern we’re going to knit and then measuring it. Here’s where the pins come in-- if you use bigger pins, the stitches will be bigger (and looser), and so the size will come out bigger. If you use smaller pins, the stitches will be smaller (and tighter) and so the size will come out smaller. You’ll notice that pins go up in .25 or .5 mm. That’s because those tiny increments will affect the size of the stitches. On a blanket, it’s not so crucial. But on a jumper-- if you’re supposed to have 4 stitches per inch and you’re getting 4.5 sts. . .let’s say you’re knitting something and you want the finished size to be 40 inches around the bust. You would need to have 160 sts at 4 sts per inch. But if you’re getting 4.5 and you cast on 160, you will only get 35.5 inches in your finished measurement. That half stitch difference knocked off 4.5" of your jumper and will change the fit drastically.
Most yarns have a little diagram on the label which show the tension/gauge the yarn was meant for, and a suggested needle size to obtain it-- but many knitters have to use a different size needle to get the right gauge. It will show how many stitches (across) to fit into 4 inches/10 cm, and how many rows (up and down) to fit into 4"/10cm. It doesn’t mean you HAVE to get that tension, but the drape of the fabric will come out differently if you get a different gauge.
For a first project (but see below), it’s probably a good idea to knit each square with a different color in the same yarn and use the same pins. But if you want to be daring and use different yarns, just make sure that each square is going to come out the same size. So you’ll have to use different amounts of stitches for different types of yarn to make sure that happens.
This is all about the width-- the length is easy; just keep knitting until it’s as long as you want it to be.
If you are doing this without a pattern, keep this is mind: if you do stocking stitch, that is, every other row is all knit stitch and the alternate every other rows are all purl stitch, the edges will curl. The ones which are sewn together will be kept flat, but the outside ones need some sort of border. There’s an entire sticky thread on this forum about that.
The one other thing to keep in mind if you decide to get different types of yarn, is that they should all require the same cleaning-- you don’t want one that needs to be washed in hot water and another in cold!
And now the advice:
Don’t worry about the blanket right now. For now, just get some 8 ply - 10 ply weight yarn and some 5mm-ish pins and just start practicing. Just knit away and get used to the technique of making stitches (there are how-to videos on this site). But just knitting squares and sewing them up into a blanket is not a bad way to learn to knit, come to think of it.
P.S. It all seems confusing right now, but really, there are only a few techniques to learn-- the knit stitch, the purl stitch, increases and decreases, casting on and binding off. That’s it. There are a couple of things (made up from the above 6 things) such as cables and short rows, and learning how to switch colors, but that’s really it.