it depends on the path, but i think everyone starts with meditation. i started out studying Wicca, so i first learned the history, then the tools and holidays, then it got into the practice. the first thing i started with was meditation. granted you'll also need to learn charging, shielding, chakra's and grounding. but baby steps, start by clearing your mind for a minute.
read some articles as well as some books to gain some insight so you don't start down a path you later regret.