So you want to make a movie? Easier said than done.
The artistic realm of movie-making is one of the more challenging mediums in which to express one's ideas. First you might want to seriously consider some kind of practical film education.
I personally attended a broad university where I majored in electronic media with a concentration in animation, eventually earning a bachelors degree in fine arts. Some of the classes were more flexible than others, allowing me to incorporate more of my interest in making movies. This approach relied heavily on resourcefulness, networking skills and a high level of self-motivation. Since a real "film-making" class didn't exist I sort of had to teach myself, often times through trial and error.
There are also quite a few short "film-making" non-degree courses offered at universities and smaller community education centers. This can be a more affordable alternative for those who are financially challenged.
One other alternative is to try and contact your local public media access center. These places are never used to their fullest potential. They operate in similar fashion to a public library. Everything is free:(some access centers require you to volunteer to be able to use their equipment) cameras, tripods, lights and editing machines. The training is free as well. A self-motivated film-maker could realistically go to their public access center, pick the brain of one of the employees (usually someone who went to college for video production and loves every opportunity to display their knowledge), get trained on expensive equipment and do it all for free!
If institutional education is not your thing, then watch as many movies from the directors you admire as possible and allow everything to sink in. The behind-the-scenes bonus features now included on DVDs can also be invaluable sources of film-making knowledge.
Your first film-making attempt can be quite intimidating and overwhelming. What I would recommend is starting off with something short and easy.
For example, silent film is a fairly low-maintenance format. Creating a silent film means you do not have to worry about one of the most challenging aspects of film: sound. Professional sound, without a lot of money and experience, is the most difficult thing to mimic in the domain of film-making. Also try to keep the length of the movie short and sweet (5 to 15 min.) Nobody truly realizes how much time and pain goes into making a short film, let alone a full length feature. Bottom line: keep it within a manageable scope and do not bite off more than you can chew.