How can I make a project where I can adjust a temperature with buttons and a display and if the temperature is higher than that I set, a led turn on ?
Sounds like you want to measure temperature, control an led status, display a number on a display, and possibly control/actuate a heater or AC.
Adafruit has a lot of guides and is a good resource.
Here is a guide that discusses measuring temperature. You will have to decide what type of temperature sensor you want to use, digital/analog, what precision, etc.
Here is a guide that discusses LEDs, you can get a RGB or a single color. You will need to look at the forwarding voltage of the LED and the voltage of the arduino you choose. (most are 3.3V or 5V)
Here is an article on digital I/O. Your buttons will be digital inputs, your LED will likely be a digital output. You can take that input and have it change a desired temperature value in your code. Look at what button debouncing is.
For a display, a simple 7-segment is a good simple/cheap choice. This GPS clock project incorporates a 7-segment. You can learn from that implementation.
Then depending on what you are actuating a simple way to turn something on and off at higher power is a relay. There are many relay boards built to be easily controlled with an arduino. Here is a discussion of one such board. Check what voltage/power the relay is rated for and what your device is rated for. If your device is mains AC be very careful with higher 120 or 240VAC. It can be very dangerous.