probably THE best place to start is with the AUM magazines, found here: http://www.coniserver.net/coni_users/web_users/pirvu/aum/aumonline_e/

double click each to open and read them through, download the resources and play with the demos, edit the demos and stuff, play around in the SED script editor

now you'll hear some stuff about templates which personally i think is crap, if you wanna do your own style game, do not even look at the templates

i taught myself how to use this engine by reading posts and going through the AUMs, downloading every demo game i could and see what did what

just in case you dont know yet:
-SED is the script editor, you do all your custom game scripting here, this is where you write code to bring your world to life
WED-world editor, this is where you import/place all models then assign them an 'action'
-MED is where you can make/edit models/terrains

*
an action is a series of instructions that you can assign to a WED entity by use of its behaviour panel