As you say you're a beginner, I would suggest to NOT use this as a power supply for your projects because it's too risky to have the mains voltage so close to you on the bench.
I would suggest getting an old AC adapter from a switch or a hub or a scanner ( might find these at recycling centers or stores selling used parts) which outputs 7.5-12v DC and then use a simple linear regulator to generate the desired output voltage.
It's a very simple project for a beginner.
For example, this is how I power my pic controllers with 5v :
I'm using an AC adapter I got from an old 4 port switch, it's 7.5v 1A rated, but since it's not regulated it outputs up to 11v when there's no load. The LT1085 linear regulator doesn't care, it just needs the voltage you need at output + 1 volt so as long as the AC adapter gives it at least 6v, this board will output 5v like I designed it to.
The circuit is basically exactly the one in the datasheet:
The resistors are just different than what's in datasheet because I used what I had around ... the formula is simple : output voltage you want = 1.25v ( 1 + r2 / r1) - with the resistors in the picture above i get about 5.1v output which is close enough to 5v
The capacitors also don't matter much as long as they're there, I've used what I had around, I believe it's a 47uF 16v and a 220uF 35v at output. Very over the top since the output is 5v, but that's what I had around.
For the current a PIC controller needs plus a lcd screen, the chip doesn't need a heatsink. It will need one only if you plan to use a lot of power, let's say more than 0.2A. With a good heatsink it can output up to 3A