No, you don't need to be in a coven to work with magic. The purpose of a coven is to provide religious/spiritual support and guidance to its members. Coven members also practice rituals and other works of magic together.
To practice spells and the like, you need to know your basics. These include: meditation, visualization, grounding, shielding, energy flow/control, correspondences, moon phases, days of the week, etc.
You can find information on them in Newbie Central, Tips, and Faqs. These are located on the home tab. You might also wish to check out the Featured Articles on the article tab. Those areas should give help get you started.