Brainstorming is the stage before any of the actual planning, though it still often works hand in hand with planning. The point of brainstorming is to throw any ideas you have in and see where it takes you, in this stage nothing is final.
When coming up with characters, begin by considering certain character tropes you enjoy or personality traits you find interesting. The characters you feature in your story can be a great tool to explore the story, or rather the story can be good to explore the characters. Imagine the moments characters will have on their own and with others.
Think of places it would be interesting for a story to take place, if you've already figured out your characters think of how the environment, time, and other aspects of the world would help amplify their personalities.
Now there is no particular order to brainstorm things, you could start developing a setting and world or throwing around characters in your mind, you could even begin to imagine the beats of the story you wish to tell, if you already have one of the first two I suggest using those as bases for your story. Ways to begin imagining a story are thinking of themes you wish to explore, or events you would like to imagine happen. This is a good place to consider the genre and tone because those could lead you to look into tropes you'd be interested in following, or maybe even consider breaking the mold on.
I find doing things that aren't related to coming up with the actual story very helpful, it lets your mind wander and just ruminate in the story you're crafting. It truly leaves you in a space to just play around with things and have fun.
When I say daydreaming, I mean to mess around with plot points, interaction, and scenes in your mind. If doing So doesn't come as easy or naturally you could always just start drafting ideas, write out senes and interactions without thinking of it as being part of your final story, just mess around and see where things take you.
Something I find helps when thinking about stories, settings, or characters is putting together a Moodboard with images, quotes, and just anything I find relevant. There are many apps and sites you could use for this such as pinterest, milanotes, etc. You can look for things that match what the board is for perfectly or just go off vibes!
If you're someone who enjoys music this could be very helpful, try putting together a playlist about your story. I myself love imagining certain scenes and interactions from my stories to music, it's like a music video. It can also help to get into the proper headspace for the story, say its set in a historically inspired setting or takes place in present day, you might add music that matches that. For myself, when I make playlists I try and match the songs to specific moments, but also just the mood of the characters or story.