I can definitely recommend the CoH courses. I think their website gives some "how to get started" info and a very comprehensive reading list (including the 2 excellent books that Millie mentioned above). See
http://www.companyofhorses.com
Alexandra Kurland also has a series of videos which are very popular, although I haven't seen them yet.
http://www.clickryder.com (and the associated yahoo group) are very useful too in terms of learning how to break behaviours down into small steps. There are also various clicker dog training books/videos and as the dog trainers tend to be further down the +R path than most horse trainers these are really helpful.
Most people start off with a basic touch-a-target exercise which is easy to start and then has a number of variations to progress to eg touch target when it's further away, retrieve target, touch correct target from a choice of three objects etc.
But always keep things simple, break everything down into tiny steps and plan everything carefully in advance. Are you training what you think you are training?! It's typical for the horse to cotton on much more quickly than the trainer and so the better equipped you are beforehand the more smoothly things will probably go.
Most importantly think about the ethics of what you are training. I've found some of the eg clickryder stuff incredibly helpful but some has made me wince. The clicker is so powerful that you could for example easily train a horse not to bite you when you try to put on a badly-fitting saddle. Or is it fair to train a horse to touch a target while you rustle a plastic bag behind it? I would say not but it is certainly possible to do this with the clicker. And always make sure that you're shaping something that the horse is physically capable of - don't shape a dressage outline in an unfit horse. All common sense stuff but you hear about it from time to time....
And if it's not fun then something's not working so don't be afraid to ask for help at any time...!