1st step as a totally brand new players, do all the tutorials.
Its not really helpful, but it does gives you a small insight on how/what is EVE

2nd step join a corporation(guild), it will help in the long run.
Malaysia:
Nim-lhach recently open a High Sec corp which you can later transition to their null sec corp I believe

International:
Brave Newbies
EVE University
RvB is also semi newbie friendly(correct me if i'm wrong)

That's about it