Start by reading the help files.
Read all of the First 3 sections ( Introduction, Programming Principals, Fast Track Learning ), and see what you can get out of them.
When you are confident that you are ready to start getting a bit more indepth, Download the tutorials from this site, and go though them.
Once you've done that, Start on your first project ( best to start on something simple and 2D so that you can get the basics down-pat ).
Then, you can move along to a 3D game, and progress from there.
Hope I Helped...
Jess.

Team EOD :: Programmer/Logical Engineer/All-Round Nice Guy