What is the first step when someone uses your credit card fraudulently? should I file a police report?

Someone fraudulently made a charge against my credit card. The bank said nothing can be done until it posts to my account one month from now. The merchant said I should file a police report and the merchant will provide police with the details of the transaction.

You are right. A police report is the first step. Make sure you tell the credit card company, unless the bank already did it.