Is this in an existing box, or are you adding boxes?
If this is an existing box, what wires are in there already?
Does this diagram help any? The lighter color is supposed to represent white.
The line and neutral go through the GFCI. There are two pairs of terminals. The second pair (output pair) is labeled LOAD. Note the colors of the terminals. The lighter color screw is always for the neutral ("Light to White"). The black wire goes to the more golden-colored (brass-colored) screw.
The ground wire is run to the ground lug of all devices -- and to the box, if it's metal.
Stanfortyman, below, is also correct. The lamp and fan don't have to go through the GFI unless the fan is over the tub/shower. You can route the wires from that device directly to the Line terminals.
In fact, it's probably a good idea not to put the lamp through the GFCI. If you do that, the lamp will turn off if the GFCI trips and that may be undesirable.