Bladerunner,
This is my first year playing and I'll tell you the approach that I used. I like the advice from pgapro, take a couple of lessons for an introduction to the fundamentals. Be advised that your grip, take-away, swing and everything else that feels natural to you will be wrong. That will get your prepped to spend some time at the driving range. Hit the range a half dozen times and then schedule another lesson. Hit the range a few more times and try out your short game at a pitch and putt course.
Find someone with some experience on a course to guide you through your first few rounds. As long as you keep moving and don't hold anyone up you'll do fine. Balls are cheap, if you send a few off into the weeds - drop another one - give it a whack - and move on.

gopherit