Regolith can be electrolyzed to obtain iron, ferrosilicon and silicon as well as ceramic blocks with a high melting point for furnace construction.  Pure iron is soft, ferrosilicon has uses, and silicon can be used for solar panels.
To get cast iron and steel, rather than soft  pure iron we need to smelt lunar iron bearing minerals like ferrosilite (FeSiO3) or ferropyroxenes and Fe2SiO4 with carbon monoxide.  
The electrically heated blast furnace, more accurately a direct reduction furnace, uses carbon monoxide from volatiles scavenged from huge masses of regolith, CO from polar ice or even CO from volcanic gas chambers in the Moon to reduce iron bearing minerals extracted magnetically from regolith and volcanic glass.  Flux is obtained from thermal decomposition of anorthite.   CO + CO ==> CO2 + C   Some of the carbon from this reaction dissolves into the iron to form cast iron which is later converted to steel. 
Hot CO2 from "blast furnace" is electrolyzed back to CO and oxygen. Carbon 60 or fullerene nanotube filters separate CO and oxygen molecules.   Carbon monoxide is thus reused over and over again as it must be on the carbon poor Moon.  Some carbon dissolves into the cast iron and the CO must be replenished with CO from regolith volatile harvesting, CO from polar ice and/or CO from subselene volcanic gas chambers.  There are many low volcanic domes on the Moon, especially in the Marius Hills region. 
Carbon monoxide is heated to high temperatures with solar energy before injection into electrically heated furnace so that it does not cool the charge.  Temperatures of around 1500 deg. C + are needed. A power tower arrangement reflects solar rays onto CO heater roof.
Open hearth furnace may allow finer control of carbon content in steel than top blown basic oxygen furnaces. Easier CO2 recovery also.
Preliminary Project: Land numerous seismic probes in the Marius region.  Bomb moon with hi-speed projectiles launched from Earth to set off acoustic waves to make sub-selenar map to detect chambers of volcanic gas if any.  Use ground penetrating radars from orbiters also. 

If chambers detected land inflatable habitat(with supplies), moon buggies, some bob cat sized mining shovels for piling up regolith shielding around habitat and drill rigs.  Drill for gas and analyze.

Initial Industrial Payloads in no special order

Titanium manufacturing unit
Magnetic and electrostatic separation units to get non-magnetic minerals, chromite (FeCr2O4), ilmenite (FeTiO3) and iron ores separated. 
H2 redux/carbonyl/CVD devices to make steel parts, sheet metal, etc.  Ceramic or cast basalt pipes could be coated with layers of steel by CVD to give them strength against internal pressure.  See: Galactic Mining
H2 and carbon to get started
Solar panels, fuel cells, storage tanks and/or nukes
molten silicate electrolysis units (magma units) and molds/ sand mold templates
extra electrodes for replacements in magma units and for new moon made M-units?
Coils of copper wire, foil reflectors, plastic supports
Molybdenum heat probes and tools
electrical parts, switches, solenoids, etc.
smashing hammers for busting up flux blocks
insulated, graphite resistor heated, ceramic crucibles

Once we land all this, we can run the M-units to get iron, ferrosilicon, silicon, oxygen, and ceramic blocks.  We can stack the ceramic blocks and insert the insulated-graphite resistor heated crucibles.  We can drill holes in interlocking ceramic blocks with heat probes for tuyeres, iron and slag outlets and even weld the blocks together with heat probes.   We can cast ceramic or cast basalt tubes and use CVD (chemical vapor deposition) to give them a steel coat.  Iron ores will come from mining with bob cats, magnetic and electrostatic separation of regolith.  These will go into fluidized beds that reduce them with hydrogen and then CO to form carbonyls that will be deposited on hot ceramics to leave steel and the CO will be recaptured and reused.  We may need a special inflatable chamber to do that work or land an ET.  The titanium units will be fed ilmenite from the mag-electro separation units and we will produce any titanium part desired.  We will assemble all the plumbing and get ready to go.  We may need a small arc furnace to convert chromite to ferrochrome for the CO2 + H2 ==> CO + H2O catalytic convertors.  We will build many ten to fifteen foot tall "blast furnaces" and associated equipment mostly from ceramic blocks from the M-units. 

We will need equipment after than to make all sorts of things from the steel produced.  We will make solar panels by CVD of silicon on steel sheets perhaps also.
Integrated titanium manufacturing unit.  Ilmenite in and parts out.  Single package of 30 tons mass perhaps.
Carbon monoxide can be reacted with H2 gas in the presence of an iron-chrome catalyst at 400 C. to form CO and H2O.  This may be more efficient than CO2 electrolysis since water electrolysis requires 1/5th as much energy as CO2 electrolysis and all systems can be made from in situ lunar resources whereas CO2 electrolysis yttria-zirconia cells might have to be imported from Earth. 
Coherent Lunar Steel Strategy 

Mine mare regolith, roast out volatiles (H, He, C, N, these react with oxygen in minerals to form H2O, CO, CO2, CH4, N and He)

Magnetically separate iron/nickel fines, melt and work separately or convert to blister/crucible steel

Magnetically separate iron bearing mineral grains like Fe2Si2O6, Fe2SiO4, FeTiO3 and FeCr2O4

Electrostatically separate ilmente (FeTiO3) and chromite (FeCrO4)

a) FeTiO3 ===> Carbotek fluidized bed hydrogen reduction for TiO2, Fe. O2   TiO2 to FFC cells for Ti metal

b) FeCr2O4 ===> high temp solar carbothermal, thermite or electric furnace reduction to get ferrochrome for steel alloys and RWGS (reverse water gas shif) reactors  CO2 + H2 ===>  CO + H2O to recycle CO

Molten silicate electrolysis for iron, ferrosilicon, silicon and ceramic blocks composed of a calcium rich silicate and magnesium aluminum spinel.   Use ceramic blocks for iron and steel furnace construction along with sintered basalt blocks.

Load electrically heated CO direct reduction furnace ("blast furnace") with iron bearing silicates and flux

Deriving CaO flux may be done in several ways, more research needed

a) grains of irony silicates must be pressed and sintered with microwaves to make briquettes.  Flux must be prepared in simillar way.

b) reduce with hot CO gas

c) CO2 that forms must be recycled by CO2 electrolysis or reaction with H2 in RWGS catalytic reactors

Molten pig iron cast into sand molds in lunar surface and allowed to harden, then loaded into open hearth furance.

a) open hearth is slow but allows fine control of carbon content in steel

b) pure iron from molten silicate electrolysis or meteoric iron/nickel fines cannot be mixed with iron in OH furnace as it is pure and contains no ferrite or cementite.  This could be donverted to steel by the blister steel or crucible steel process.

c) steel from 12 hour OH run can be sampled periodically to determine carbon content with neutron emitting sources and gamma ray spectrometers.

Alloy steel with ferrochrome, silicon or titanium.  Eventually manganese may be extracted from regolith too.  NIckel and cobalt from iron fines can be used for some alloying.
David A. Dietzler, 2007