Test first / test after:
It should be noted that 'test first' as part of TDD is just as much (if not more) to do with design as it is to do with unit testing. It's a software development technique in its own right -- writing the tests results in a constant refining of the design.
On a separate note: If there is one significant advantage to TDD from a pure unit testing perspective, it is that it is much harder (though not impossible) to write a test that's wrong when doing TDD. If you write the test beforehand, it should always fail because the logic required to make the test pass does not yet exist. If you write the test afterwards, the logic should be there, but if the test is bugged or is testing the wrong thing, it may pass regardless.
I.e. if you write a bad test before, you may get a green light when you expect a red (so you know the test is bad). If you write a bad test afterwards, you will get a green light when you expected a green (unaware of the bad test).
Books
The pragmatic unit testing book is well worth a look, as is Roy Osherove's "The Art of Unit Testing". The pragmatic book is more narrowly focussed on the different types of test inputs you can try to find bugs, whereas TAOUT covers a wider spread of topics such as test doubles, strategies, maintainability etc. Either book is good; it depends what you want from it.
Also, here's a link to a talk Roy Osherove did on unit testing. It's worth a watch (so are some of the test review videos he recorded, as he points out various problems and dos/don'ts along with reasons why).
How to start
There's nothing better than writing code. Find a fairly simple class that doesn't reference much else. Then, start writing some tests.
Always ask yourself "what do I want to try and prove with this test?" before you write it, then give it a decent name (usually involving the method being called, the scenario and the expected result, e.g. on a stack: "Pop WhenStackIsEmpty ThrowsException").
Think of all the inputs you can throw at it, different combinations of methods that may yield interesting results and so forth.