To start with I would concentrate on building a decent foundation to build on. Go to the gym 4 days a week and do an upper-lower body split for a few weeks and then if you want, you can split your workout up and do one or two bodyparts a day.
Find out how many calories you are taking in at your present body weight and try to up that by about 200-500 calories and see if you are able to gain any weight to start out with.
Last but not least, read everything you can. Take in as much info as possible. This board has ALOT of useful info. Here's a good website showing muscle groups and exercises: http://www.exrx.net/Lists/Directory.html