I started with the user manual and one of the Sew So Easy patterns.. Sew So Easy isn't so easy, I found that the skirt pattern I bought after that was WAY more easy than anything else. Pants/shorts are easy first patterns to use.
Sewing for Dummies book was great for common problems/advice as well. Curtains is a great first project by the way. All they need are straight lines and some measurements so they are easy and quick to do (unless you want to get all fancy, but my house is the opposite of fancy so I didn't). Other good first projects if you don't want to start with a pattern are: placemats, pillow cases, pillows are a little harder but still not terribly hard, bookcovers are pretty easy as well... You can google "whatever" tutorial and find tutorials on making whatever it is you want. The same goes with whatever sewing problem you are having. Im horrible at remember what it is that I need to do to gather (me and gathering don't get along, Im not sure why since its easy but yea) so I google it at least once per pattern that needs gathering.
Also, ask around your friends, playgroups, church etc to see if anyone sews that will be willing to give you some pointers. If you really want to take a class check our your community center, a seniors center (my hometown the seniors offered free "homemaking" classes to young ladies/men in the community that wanted to learn), community college or something like that. A lot of those places offer free or low cost classes. My community college offered free tailoring classes, I wish I took advantage of that since DH and I spend a ton on tailoring his uniforms!