List the different areas of your life, for instance, work and home, and then break them down into smaller categories. Think about what you want to achieve in the immediate future, but also in the medium and the long term. For example, in the immediate future you might have a list of things you want to get done in the next week or so at work, such as "finish report" or "clear desk of all admin". In the medium term, think about what you would like to do in the next six months to a year, such as "attend management training course". In the longer term, your goal might be "to get promoted to senior management level".
When setting goals, it's important that they are achievable and realistic. By all means set yourself long term as well as short term goals, as then you will know what you are aiming for in the future, but you need to break your long term goal down into smaller steps. This way, you will be able to measure your progress as you reach each milestone, which will keep you motivated.
Stress is a medical condition and it can have a serious effect on your health. If you think you are suffering from stress it is crucial that you consult a medical professional.