Learn music theory. This will be an ongoing process, but the first step will be to learn the language. This is expressed in staffs, clefs, notes and time signatures. Once you are able to understand how music is written, you will be able to delve more deeply into its theory.
Listen to as much classical music as you can, and apply what you are learning from your music theory lessons to what you are hearing. Learn to differentiate between different composers, different styles of classical music and different performers.
Decide if you prefer to only appreciate classical music from a knowledgeable perspective, or if you wish to perform it as well. It will enrich your life either way, but your course of action may be different if you wish to pursue performance. If you only wish to appreciate classical music and do not wish to perform it, you can skip step four.
Decide what you would like to study in terms of performance. You may need to try different instruments to see which you prefer, or you may have a strong feeling that you wish to play a specific one. You may also find that you wish to undergo voice training.