If you wish to practice a pagan religion you could do worse than to start with the following:
Learn herbalism: learn to identify, grow and harvest herbs at the right times. Culpepper lists the astronomical associations of each herb, so you will have some idea of the correspondences, etc. Learn about trees (thus, woods) and their mythology, growth patterns, etc. this will help with making tools, using correspondences - should that be the route you take.
Find a calendar of the moon, so you can watch its progress across the sky throughout the year and know how to keep track of it, eventually without the use of a moon chart/calendar. It is also good for everyone to know the night sky, so a basic map of the night sky that follows through the year would be good.
Information about the rural cycles of the year (times to sow, times to harvest, when the sap rises, when animals breed, give birth, etc.) will also be of benefit, when combined with books on local folklore and will help you get in tune with the natural energies around you. Information on weather lore, bird lore, etc. would also be of benefit; those old sayings have wisdom hidden in them. These books should be easily found in a library. Books do not have to be purchased and there are internet sites with this information, too.
Meditation - this should become a daily practice and you should also investigate visualisation techniques. These are basic skills that should not be ignored as a mastery of both will help you connect with the world around you. The more time you spend outdoors in natural surroundings, connecting with the spirits, the more you are likely to be able to conduct ritual in its proper setting in the future.
Write down what you currently believe about the cosmos and spirituality. Then, start reading books on myths so that you have an understanding of the various traditions and see which of those match your own understanding. Eventually, you will find one that fits close enough to examine it further. By reading the myths and history of your chosen tradition, you will come to know your own gods.
For instance, if you tend towards Celtic, try a copy of the The Mabinogion online followed by the celtic texts listed at Mary Jones's site. If you are interested in Egyptian, Roman or Norse gods see Encyclopedia Mythica, as it will have references to suitable texts.
If you prefer to read about the northern/norse gods, try the Northvegr site, which has articles and online version of original texts for those that prefer those gods/traditions.
Here is a list of further resources.
Sacred Texts - free books online.
Magical Library - more free books online.
Pantheon - information on gods and goddesses.
Edruid Press - online publishers of the most comprehensive herbal I have ever seen. Although, there is A Modern Herbal and Culpeper's Complete Herbal
There are plenty of good online resources. Just remember though, there is a huge difference between fact and fiction.
