Depends on the language.

What language are you learning?

With a Latin-alphabetical or a Cyrillic-alphabetical language learn the letters. Then learn pronunciation and similar mechanics.

Then move onto useful phrases. Once you master those, begin studying verb-conjugation. Begin with the present tense if the language permits.

Don't forget to study any adjective or noun inflections or declensions as need be.

I recommend Wikibooks for some good basic tutoring:
Wikibooks:Languages bookshelf - Wikibooks, collection of open-content textbooks
Some languages, like the French Wikibook, are well written and full of information. Other languages' books may be newer and not have as much information and tidbits.

Enjoy!