1. LEAVE IMMEDIATELY & CALL THE POLICE
Leave the house to stay safe. Do not risk it by going in to note missing items right away. That can wait. Your safety is the most important thing. Call the cops straight away to report the incident and get them on the scene.
2. TAKE NOTES
Write down as much that you can. Were you inside when the burglar entered? Did you see them? If so, write down anything you can recall about them, taking extra note of any distinguishable features. This may be helpful to police when going after the culprit(s). Some things to write down may include number of intruders, age, sex, race, clothes, how they entered, where they went, distinguishable features (i.e. tattoos), etc.
3. TAKE PICTURES
Take pictures of any damage, areas where items were stolen, where the burglars entered, etc. However, it's important to be careful not to disturb anything. The police will need it to be as close to the way you found it as possible. Pictures will also be used for insurance purposes. It also helps if you have pictures or receipts for the items that were stolen.
4. FILE A REPORT
The police will have you file a report with them. Try to be as detailed as possible.
5. FILE INSURANCE CLAIM
Be sure to file the police report first because the report number and some other information will be needed by the insurance company. Later, an adjuster will come out to assess the situation.
6. IDENTIFY SECURITY WEAK POINTS & STRENGTHEN THEM
Now it's time to repair damages and strengthen weak points to help prevent this from happening again. Good places to focus on include windows, doors, alarm system, etc.