Learn a few easy tricks by visiting the local library and looking for books on basic magic or "self working" tricks. These commonly can be found in the large chain bookstores as well.
Graduate to more advanced tricks and techniques if still interested after performing magic tricks found in the easy books. A great magic textbook is "Mark Wilson's Complete Course in Magic." It is available through most bookstores and covers the basics of almost every field of magic
Specialize in a certain genre of magic. "Bobo's Modern Coin Magic" is an excellent starting point for coin work, and "The Royal Road to Card Magic" serves the same purpose for cards. Both are available in editions from Dover Publications.
Find a local magic shop for more advanced material. After becoming proficient at performing magic tricks and establishing basic skills, DVDs can be a valuable learning resource.
Study other magicians and performers to gain insights on performing magic tricks. There are several free podcasts such as "Go Magic Go" and "iTricks," magazines and Internet groups that cover the magic industry.
Join a magic group to exchange ideas and learn from other magicians. In the United States the two largest groups are the International Brotherhood of Magicians and the Society of American Magicians.