Get your boss or HR manager to help you find a bank. Most companies (if not all now??) prefer your pay to be deposited into a bank account. Mine referred me to a local branch - all done within a day. But when I first arrived - I couldn't get an account and so had to carry all my travellers checks for 6 months - scary. But once I got the job I wanted and settled in - it was very easy. But be patient - it take over 6 months to build a credit rating in the
UK. Once you start paying bills (council tax, water, phone etc) it gets much easier!
J