Yes, you should start with letters and rules of pronunciation. It is relatively easy to get started with the Cyrillic alphabet because many letters remind those in English. There are 33 letters in russian alphabet. The good thing in Russian is that almost all words can be sounded out as they are written. It is not very difficult, you will see! And another important thing are stressed vowels. While stressed vowels are pronounced rather distinctly, unstressed vowels undergo reduction and changes. Good luck!