Nerve is the only bar that doesn't start up full. You will have to wait a full 50 minutes to get your first full bar. When you begin this game, all nerve is useful for doing crimes.
In your first 10 days, you will be shown a list of checkmarks right next to the crimes, showing what you can and can't do. Each crime has several sub-sections to it, and you're free to choose which one you want to do. At first, only Searching for Cash is available, but once you do enough, you'll be able to Sell Copied CDs. From there on, you'll have to guess on when you can advance. Your bar will also tell you when you've reached a certain level in crime exp when it increase by 5. Your nerve bar will start out at 10, then will increase to 15, 20, 25, 30, 35, and even 40. You may purchase increases to your nerve bar through merits as well. The higher your nerve bar, the more likely you'll be able to do higher and higher crimes (Note that increasing your nerve bar by merits does NOT allow you to do harder crimes). Once you get to 40, you'll be able to do almost every crime available to you.
The newer high nerve crimes are however very hard to do, and most people can not successfully pull of the 13, 14 and 15 nerve crimes over time without missing quite a few of them. Getting caught at these high-lvl crimes, will cost you a huge crime experience loss, often resulting in a drop to a 35 nervebar again.
There are certain crimes where you need the existence of items in your inventory to do.