Nyelphaba - you begin with what you know. Seriously. Do a tree of all of your relatives as you know them, with full names, dates and places of birth / death.
Then move on to speaking with other members of the family who might be able to add to this - older members are very useful, but don't overlook the possibility that younger ones may have done some research (or just know more info than you do at this point). Don't concentrate too hard on just going backwards - often you need to know about siblings in order to confirm that a person you have found is the one you want!
Once that is done you can start using research from the Internet and/or local registry offices to work your way backwards and sideways.
Good luck - it is a lot of fun, and you can find out all sorts of useful/interesting snippets of information