It all depends...
If you have never learned a foreign language before, I'd suggest starting with a formal class of some sort. At this point, you're not just learning the target language, you're learning how you learn a new language, and this is where the class setting and instructor can be most helpful. Focus on vocabulary acquisition and speaking first, then work on reading and writing as you build your knowledge base.
The absolute most important thing, however, is not to be shy about practicing. I've never studied any Spanish in my life, but I've practiced ordering at the local burrito joint enough that cashiers who don't recognize me will tell me my total in Spanish. People are extremely accommodating when you make the effort. If you can't travel, find some people locally. Check for a local French/German/Russian society in your city - they would love to help you learn. If there is a university near you, put up an ad for a tandem partner - a native speaker whom you can assist with English and who can assist you in his or her native language. If you both have enough ability in both, you can switch back and forth whenever you want.
If you've studied a language before and have some idea of how you learn, I'd advise something like this: (assuming you want to study on your own)
Get a hold of a longer text (about the size of a news brief) and a recording of someone reading it. Listen to the text and read along. Your goal here is twofold: you're training your ear to recognize and differentiate between the sounds of the language, and you're learning how pronunciation and spelling correspond. (English is one of the least consistent languages here, so assuming you aren't trying to learn Welsh, you can do this without too much trouble). Work yourself to the point where you think you could passably read the passage aloud yourself. Focus just on the pronunciation at this point, and play back the recording to check yourself. Later, you'll want to focus on the rhythm of the language, but you have to work your ear up to that.
Caveat: if you're learning a tonal language (Chinese, Vietnamese, aso.) you absolutely must learn how the tones work before you do anything else.
Armed with this knowledge of pronunciation, you can work out of nearly any textbook to learn vocabulary and grammar, according to your own system and preferences.
If you have never learned a foreign language before, I'd suggest starting with a formal class of some sort. At this point, you're not just learning the target language, you're learning how you learn a new language, and this is where the class setting and instructor can be most helpful. Focus on vocabulary acquisition and speaking first, then work on reading and writing as you build your knowledge base.
The absolute most important thing, however, is not to be shy about practicing. I've never studied any Spanish in my life, but I've practiced ordering at the local burrito joint enough that cashiers who don't recognize me will tell me my total in Spanish. People are extremely accommodating when you make the effort. If you can't travel, find some people locally. Check for a local French/German/Russian society in your city - they would love to help you learn. If there is a university near you, put up an ad for a tandem partner - a native speaker whom you can assist with English and who can assist you in his or her native language. If you both have enough ability in both, you can switch back and forth whenever you want.
If you've studied a language before and have some idea of how you learn, I'd advise something like this: (assuming you want to study on your own)
Get a hold of a longer text (about the size of a news brief) and a recording of someone reading it. Listen to the text and read along. Your goal here is twofold: you're training your ear to recognize and differentiate between the sounds of the language, and you're learning how pronunciation and spelling correspond. (English is one of the least consistent languages here, so assuming you aren't trying to learn Welsh, you can do this without too much trouble). Work yourself to the point where you think you could passably read the passage aloud yourself. Focus just on the pronunciation at this point, and play back the recording to check yourself. Later, you'll want to focus on the rhythm of the language, but you have to work your ear up to that.
Caveat: if you're learning a tonal language (Chinese, Vietnamese, aso.) you absolutely must learn how the tones work before you do anything else.
Armed with this knowledge of pronunciation, you can work out of nearly any textbook to learn vocabulary and grammar, according to your own system and preferences.