There are a lot of good videos on youtube and
securitytube.com. Also,
I'd suggest checking out some podcasts starting with
pauldotcom.com
and Security Justice. There are a lot of tools and methodologies out
there so a big part starting off is just getting to know what is out
there. If you want formal training SANS offers some good technical
classes in a wide range of topics.
If you have any specific question you can ask them on a number of
different mailing lists including this one. The
pauldotcom.com podcast
has a good active mailing list too.
-Tim Medin