If I just got married to a US citizen and we want to know what are the steps to follow for me to change my status and what paperwork do we need to file?

As long as you entered the US lawfully and can prove that lawful entry, once you are legally married to a US citizen, you can apply for adjustment of status to permanent residence on the basis of marriage.  You can either seek the assistance of a qualified immigration attorney or do the process yourself (if you know how and feel confident enough to do that).  You can get the forms from the USCIS website, at www.uscis.gov and read all the instructions for doing so.