I’d recommend just trying to write a really simple app first – just something that has a bit of text, maybe some pictures, on screen and lets you tap some things. If you haven’t chosen between using Visual Basic or C# as the language to learn yet I would choose C# as it’s more popular, and also used more in industry.
This seems to be a good link for beginners as it has lots of videos – don’t know whether it’s the right level for you though but give it a go. It’s not the latest version of wp7, but the techniques haven’t changed much – just a few new things added.
http://channel9.msdn.com/Series/Windows-Phone-7-Development-for-Absolute-Beginners
I found this that’s an example of a complete ‘first’ application for wp7 mango
http://msdn.microsoft.com/en-us/library/gg680270(v=pandp.11).aspx
This is a fantastic link once you’ve written your first simple app as it has an example of how to do everything on windows phone (tiles, photos, play music, etc. etc.…)
http://msdn.microsoft.com/en-us/library/ff431744(v=vs.92).aspx
There’s lots of tutorials out on the web if you search. You also need to know this link if you don’t already as it’s the kind of front page for wp7 development:
http://create.msdn.com/
Here’s lot of videos for using the software expression blend. You don’t need to learn expression blend at first as visual studio does everything – but if you do you can make your apps looks beautiful really easily, and it make some parts of wp7 development (the ‘XAML’) a lot easier to write than using Visual Studio.
http://expression.microsoft.com/en-us/cc197141
Hope that helps,
Ian