The way I started (the first time) was by jumping right in. I signed up for the Elements class through my not so local box (45 minute drive in the New England winter) and had my coach teach me.
After an injury and a car wreck I am starting back up (again) this time I also jumped right in.
Sometimes I watch video's of movements for the WOD before I go in but that usually just confuses me (tail end of a concussion) so I go in and the movements are gone over there.
Really though if I am going to watch videos of movements I watch them here at http://www.crossfit.com/cf-info/exercise.html
(WFS) or at http://index.roguefitness.com/pages/movements
(WFS) I do not trust random YouTube videos with my body, even more so since my car accident.