All of the above websites are good, but the best place to start is with your own family. Ask any older members of your family what they know, try and find out real names (for example my Great Aunt Mabel was called Mary on her birth certificate - finding that out saved me a lot of trouble!), dates etc. If you're really lucky they may have old birth/marriage/death certificates (which will save you time and money) and photographs for you to copy. Write down any little anecdotes - my Auntie was very helpful when I was starting my family history and one or two surnames she mentioned but wasn't sure how they fitted in have since turned up. Sometimes even talking to people of your own generation (eg siblings, cousins) can help as they may remember people, places or events that you had forgotten or never knew about!
Once you've amassed all this information you'll need to prove it (it is amazing what can be proved/disproved by certificates!).
http://www.1901censusonline.com/
http://www.1837online.com/gettingstarted/whaty ouneedtoknow/index.jsp
are good websites, but I've found it easier and quicker to get certificates from the local registry office from which they were originally issued.
Best of luck!