1. Go to http://www.naturalearthdata.com/downloads/
  2. If you have space and a decent connection, download the whole Large Scale Cultural Data.
  3. TAKE NOTE: there are several files with each name, each with a different file extension: .dbf .prj .html .shp .shx .txt
  4. Per SB suggestion, you might want to gather some of these together in folders. But you can also do this later.
  5. After you have done some house keeping, open QGIS and drag ne_10m_admin_0_countries_lakes.shp onto the main mapping window. In case you are wondering: WGS84