I’d suggest reading a book to grasp the safety issues, which include:
-UV light exposure
You’ll want to address these issues before starting for the first time.
As far as the learning goes, well, you’ll probably get some of that from the same book, and the rest of it as you go. You should be able to do useful welding in fairly short order, but if you plan to do safety-critical things - say, welding on a vehicle chassis or a pressure vessel - you really ought to get some professional instruction.
I work in an engine research lab with a staffed machine shop. I watched the shop guys now and then over a period of several years. I hadn’t really done any welding there, but after watching them work and asking lots of questions, in '05 a need arose for welding at home, and I felt comfortable buying my own equipment and going at it without any classroom instruction. If I hadn’t had exposure to welding by those pro’s, I probably would have considered a class at the local community college. If you have zero exposure to welding, you might consider that route.
The UV is the most obvious hazard, and probably the easiest to defend against (you should always wear polycarb safety glasses underneath your welding mask). Electrical shock isn’t usually that big a hazard; a welder moves a lot of current, but the voltage isn’t usually very high (except for TIG welders when they are striking the initial arc). Fumes are probably the biggest problem, especially with stick welders: the flux fumes, metal vapors (all sorts of additives in most alloys, including lead), plus whatever crap you left on your parts that gets cooked off, you don’t want any of that stuff in your lungs. Get a big fan, and put it where you can be assured of bringing in plenty of fresh air. Welding in your garage is fine with all the doors open, but don’t try to weld in your basement!
If you’re getting a stick welder, don’t cheap out by getting the 110-volt model; you will make yourself miserable trying to weld without constantly sticking the rod to your part.