Installation of the sshd on Debian is not by apt-get install sshd but by doing
apt-get install ssh
which will ask you (or assume) that you want to run the ssh-daemon. You can check after installation by doing ps aux | grep sshd if the daemon is actually up.
No that you've got direct access to the system, it's a good idea to note down the public rsa ssh key of the system.
ssh-keygen -lf /etc/ssh/ssh_host_rsa_key.pub
will give you the handy ssh key which you can from then on compare on remote logins.
After that you should continue with basic securing of your ssh server inroad.