First time international flight

Hello everyone,

I'm Indian Female traveling internationally for the first time. I don't know how to catch my connecting flight. They say they'll announce it on the plane to contact the ground staff, but I'm not sure what exactly to do or what to watch out for. Do I need to pick up my checked baggage and go through security again to catch my next flight, or will the airline handle it? I'm worried about my luggage getting lost. My flight goes from Delhi to Anchorage, US with an 8-hour layover in Chicago. How do I handle immigration, then go through security with my luggage, and check it in again for my next flight? Any suggestions would be greatly appreciated. Thank you, everyone.