You should develop a rough idea of what your first game should look like and what features it should have. (Good ideas are often the hardest part of game development.)
You will definitely want to post to the DBPro Newcomers forum as pcRaider suggested.
You might explore object creation and movement for starters.
Other important areas are lighting, texturing, terrains and matrices, sky spheres and skyboxes, applying shaders, device input, etc.
Like you said, start small and master the basics.
Don't hesitate to ask questions. Someone here will usually have some kind of useful advice.
D.D.