I was trying to blow-up at the origin of the cone $X$ given by the equation $x^2 + y^2 = z^2$. So by definition, the blow-up is given by the solutions of the equation $x^2 + y^2 = z^2, xt = zu, xv = yu, yt = zv$ where $(x,y,z) \in X$ and $(u,v,t) \in \mathbb P^2$.
I take the usual affine charts $ u = 1, v = 1, t = 1$.
In the first chart with coordinates $(x,v,t)$, the equations become $z = xt, y = xv$ so $x^2(1+v^2) = x^2t^2$. So we obtain $x=0$ and $v,t$ are free or $1 + v^2 = t^2$. Similarly the second chart gives $\{(0,u,t) \mid u,t \in \mathbb A^1\} \cup \{ (y,u,t) \in \mathbb A^3 \mid 1 + u^2 = t^2 \}$. Finally if $t = 1$ we get $z=0$ or $u^2 + v^2 = 1$.
Is this correct? If yes I don't understand how to get a "global picture" of how the blow-up should look like. It should be a cylinder but I can't see why. I also can't compute $E$: from the equations I wrote, it seems to me that any $(0,0,0,u,v,t)$ is a solution of these equations.
I agree with your computations. Conceptually, what happened is that you found the total transform of $X$ after blowing up the origin inside $\mathbb{A}^3$. This consists of $X'\cup E$, where $X'$ is the strict transform and $E$ is the exceptional divisor, in this case, the $\mathbb{P}^2$ lying above the origin. (You don't say what $E$ is in the question, and you should, but I'm taking a guess here.)
As for the visualization question, the strict transform of your space might not exactly be a cylinder, but it's isomorphic to one in some sense which I don't want to make precise- consider that it might be kind of like a hyperboloid of one sheet, where the exceptional divisor is a plane through the narrowest circle on the hyperboloid. "Blowing up" should be physically reminding you of inflating a balloon at the origin and things separate a bit after you inflate.