Pick one area of interest. Starting with too many will just overwhelm you.
Find an appropriate forum. You really want to stay "on topic" around here.
Dig in. Just start. Answer questions if you can (the fastest way I know to really solidify what you understand is to explain it for others). Ask questions about what you don't understand. See Brett's "sticky" post in the SQL Server forum for examples of how to post questions so that you are likely to get good answers.