My (recycled) advice: If you're just beginning, listen a lot, even if you don't understand, so that you become familiar with the language and how it sounds. Initially you should concentrate on pronunciation, because it's very difficult to correct further down the line. Once you've got the basics of reading the alphabet and pronunciation down, you should start following a course. You could start with the free online course: http://learnrussian.rt.com. Alternatively you could use a text book. "Russian Grammar You Really Need To Know" (from the Teach Yourself series) and "The New Penguin Russian Course" are both good options. I would also say it's essential to take lessons. Probably once a week would be ok. That way you can get feedback and direction from an experienced teacher. If your goal is to be able to converse, then a teacher can help support and develop your conversation skills even if your Russian is limited. They can also help you with correcting your pronunciation which, as I said, is important to get right at the beginning.

Try to read something.

Take lessons with a teacher! ;) Teacher can help you to learn and to use rules of reading, can help you to set the correct pronunciation from the very beginning. Yevgeniy.

Start reading books so you can fill your vocabulary very quickly.