I would start with learning the history, principles, and practices of the religion. Two good books that I would recommend are Wicca and Living Wicca by Scott Cunningham. They have tons of information on the religion and its practices as well as information on the sabbats and ritual observances.
If you plan on casting spells and what have you, you need to learn your basics. These include:
*Belief in yourself and your abilities
*Circle Casting and Releasing
*Correspondences (colors, days, lunar phases, etc)
The books mentioned have information on these, if you plan on reading them. If not, Newbie Central, Tips, and Faqs (which can be found on the Home tab of this site) have a lot of helpful information. You might also want to read some of the articles on the site and look at the Starting Out thread in the General Info section of the forums.