knittinghelp.com has great videos. I started wtih Stitch N B!tch from the library and a set of size 8 aluminum needles from the general store in town, and some worsted weight Bartlett yarn that I found at the farmer's market. I quickly began to use knittinghelp.com to learn Continental knitting. I started with a scarf with bulky yarn but got bored and started doing hats while the scarf sat; then I got back to it.
Just go for it...I think knittinghelp.com and a few easy patterns (which that site has links for free ones) and some yarn and needles will do it for you!

Start with a scarf or dishcloth or potholder in garter stitch.