Bags and Banks
When you receive an item it will go into your bag. To access your bag you can click on the Bag icon in the bottom right-hand corner of the interface or by pressing "B". All normal items will go into the Items tab of the Bag window. All items associated with professions will go into the Reagents tab of the Bag window.
However, if you find that you have too many items to carry in your bag you can store them in your bank. Your bank can be found in your faction's capital, and it can be accessed by talking to a banker. All items that are deposited in the bank will remain there safely until you retrieve them.