The best way to start, when new to Datawarehousing, is by reading a book (e.g. The datawarehouse toolkit by Ralph Kimball). And then try it out. Then if you have specific questions, reread the book (or an other book) and/or post them on a forum.
You start by identifying the facts (usually summable figures) and the dimensions (row- and columnheaders) of one single business area. Read that last again: one single business area.
Choose the business area with care! Don't take a too complex area (unless you opt to implement a part of it at first).
Simply put: reduce complexity.