Often a beginner is perplexed about exactly where to start in magic, and no wonder, with so many different schools of thought and practice!
I can only speak from the point of view of a Chaos Magician, for other paths, consult the appropriate sites and books.
Firstly, what not to do!
DO NOT BE A DABBLER! Don't just pick up a book on chaos magic such as Liber Null, skip through the "boring stuff" to the sections on spells and the "interesting stuff"! Magic is serious business, and those who just pick up books and start experimenting without an untrained and unprepared mind are dicing with death straight away (often literally). You also need to be mentally stable, if you have problems at the moment, go away and sort them out first, chaos magic is not for you, at least not at the moment, it will not sort out your serious psychological problems and issues, if anything it will make them worse!
That said, here is where you can start:
Get a good introductory book on chaos magic, such as Liber Null or Condensed Chaos (see "Reading List") and work through it.
There is a very good programme for beginners in Liber Null called "Liber MMM", which is what I still use myself, and is used by the IOT for novices.
It is important you learn the basics of motionlessness and concentration to achieve magical trance. After mastering these techniques to some extent, you can move on to basic spell casting using sigils (you will need to do some further research when it comes to casting spells and creating sigils, Liber Null dosen't explain how to cast spells in detail).
You will need somewhere to work where you will not be distracted (unplug the phone, turn off your mobile), a book to use as a magical journal to record your progress (believe me, it will soon get full as you work through the introductory programme) and when you move on to spell casting, a large enough space to have an altar in the centre, and cast a wide enough circle around the altar in which to move.
This is only a very brief introduction, if you get really stuck or worried about something, there is a very good forum at http://www.thebaptistshead.co.uk/ where many more experienced magicians tend to drop by to chat and discuss all things magical.