Timing for staining / sealing your deck is dependent upon the type of decking material you have, how wet (or green) it is, your local weather conditions (humidity, etc), and the product being used. Always follow the manufacturer's recommendations.

Typically, there are two different types of sealer:

1. A sealer which applies a protective film to the surface of the lumber. The lumber should be dried for 1-2 seasons before applying. Once the lumber has dried, the sealer will protect against moisture entering the wood, but not existing. If you apply this type of sealer before the lumber has dried, small cracks will form as water escapes. This creates openings for water to return. Thompson's Water Sealer would be a common brand of this type of sealer.
2. A sealer which soaks into the material and works similar to a GoreTex® material. It can be applied immediately to virtually any material. It soaks into the wood and allows the wood to breathe, while releasing interior moisture and preventing additional moisture from seeping in. Cabot would be a common brand of this type of sealer.