"I don't know exactly what it is you do when someone dies" - Edna St. Vincent Millay, Sonnets from an Ungrafted Tree.
Like the narrator in Edna's sonnet, people know that there are things that need to be done when someone dies ,but they don't know what those things are, or they feel overwhelmed and don't know what to do first.
The Colorado Bar Association has a wonderful list of the tasks that need to be completed, the people and agencies that need to be contacted, and the time frame in which things should be done.
The above list deals with the practical, paperwork aspects following a death. For help coping with the emotional aftermath, this link has some tips and information, including ways to help yourself heal during the holiday season.