I just dive in. I get all the material on the subject I can get my hands on. DVD video tutorials (I download them on Utorrent, you'd be amazed what you can find, but use a bad-IP blocker like Peerguardian if you are going to do torrent download), books (I practically live at Amazon dotcom). Dive in with enthusiasm, even if you get confused or overwhelmed at some point, so what? Who cares, be confused, put down the book and look at the DVD, maybe the lecturer on the DVD will clarify, if not, try another book. Like the nike slogan "just do it".
Currently I am studying for my MCSE certification, and a CCNA certification (More money earning potential yaay!), the book "The SAS survival guide" (No real reason, just because. I like the idea, that I, a city boy, can have the knowledge to survive in the wilderness, and I've never even been camping
), watching Krav Maga training videos to learn self defense. It's fun.