First off, for someone completely new to magic, I firmly believe that there is no better first purchase than Mark Wilson's Complete Course In Magic. It's inexpensive, so if you later decide magic isn't for you, you're not out much. If you do decide to stick with it there should be enough material here to keep you busy for at least a year if you learn every effect in the book and give each the time it deserves. In the beginning you can't afford to be picky. Now is the time to try a bit of everything and find out what works for you. It's also the time to work on presentational skills. This book is your boot camp. Now I know that most young magicians are anxious to start performing right away. This leads to premature performances which are not enjoyable for the audience or the magician. For this purpose I suggest buying a simple gimmick to give you a head start. My suggestion: The Vanishing Handkerchief. The price is unbelievably low for what you get, and you'll be learning a secret of magic that will serve you well for the rest of your magic career. The effect is easy to learn, so practice is minimal, but do not neglect rehearsal. The difference is, practice is for technique, rehearsal is the whole performance; what you'll say, your reasons for doing what you're doing, what you'll tell the audience you're doing while you're actually doing something else that you don't want them to see, etc. Still, you'll be performing The Vanishing Handkerchief in no time. Next you can start devising variations. For instance, reverse the process and turn the effect into The Appearing Hankerchief. Or you could start to vanish other items. That's right. The method isn't just for handkerchiefs. By the time you're bored with this effect you should be ready to perform your first effect from Complete Course.
Jump ahead a year. Let's say you're an expert at everything from the first book. You're committed to magic. You know that this is who you are now. It's a part of your life forever. When you're sure that you're a magician, it's time to start The Tarbell Course In Magic. Eight volumes. Big ones. This should keep you busy for a loooooong time. The good news is, you may never have to buy magic again. You probably will, but with all the money you'll save up during the years you're studying Tarbell's, you'll be able to afford any effect you want.
Perhaps you want to specialize in a particular kind of magic. Cards are my passion. The absolute best way to go for cards is Card College, as I'm sure you've heard. This may not be for you, though. Card College is for when you're positive that you want to know as much about cards as you can possibly cram into your head. If you simply want to become proficient with cards, or to find out if you might be interested in pursuing them as a specialty, Royal Road To Card Magic is the way to go. Cheap in price, wealthy in information, this book will give you a strong start in card magic. I've just started to take coin magic seriously over the past year. To that end, I've been studying Modern Coin Magic, and I feel I can recommend it to others interested in coin magic. When I'm finished, I plan to buy Expert Coin Magic Made Easy next. I can't personally recommend it as I haven't read it yet, but I've heard nothing but good things from those who have. About ten years ago I spent a year focusing on mentalism. During this time I read 13 Steps To Mentalism. After finishing it, I decided mentalism wasn't for me, but this book is a good starting point for this specialty. I don't have enough in depth experience in any other specialties to offer sound advice on them, but perhaps others who have the neccesary experience will post here.
Now let's talk about practice. The first step is learning all the moves you need for the effect. Some moves are unique to a particular effect, but most will come up again. When first learning a move, go through it slowly. Let your fingers learn it. When you're ready, try speeding up. If you make a mistake, and you will, slow down again and practice in slow motion some more. Eventually, you'll be able to go faster, and even do it without thinking about it. Like I said, your fingers learn what to do, and if you keep correcting them, they'll eventually be conditioned to do the move automatically. Do this with every move you learn. You only have to learn a move once. The next time you learn an effect that requires it, you'll already be prepared.
Rehearsal is next. First you need a story for your effect. It doesn't have to be a long story. It can simply be about how you discovered the oddity you're about to show the audience. Maybe the story is simply a distraction and the effect is the surprise ending. Your story needs to guide your audience through the effect, taking them where you want them to go. Let me share an example. I take an orange from my right jacket pocket. I begin to tell the audience the story of an orange that wanted to be an astronaut. "The orange leapt into the air, trying to reach outer space" I say as I toss the orange high into the air with my right hand. "He didn't make it" I announce, as the orange lands in my left hand. I toss it across to my right hand while assuring the audience that the brave orange tried again. Again I toss the orange high into the air with my right hand, and again it comes down into my left. I narrate the orange's second failure as I toss it back across to my right hand again. I become serious as I tell the audience in a quiet voice that "On the orange's third journey into the heavens, something incredible happened, which no one has ever been able to explain. But if you're watching closely, perhaps you'll see it." Wasting no time, I hurl the orange up a third time, and when it comes down again, it's an apple. It's a simple effect, but the right story, told in the right way, catches the audience off guard. You want to make sure that your story matches you actions. Coordinate your words with your moves.
This is far from everything you need to know about magic, but it should get you started. After you've followed the advice here, you should be more aware of who you are as a magician, and you'll find that you're capable of finding your way on your own.