So you have not worked with any sql databases? ... hmm when I was learning databases the thing that worked for me was to have a solution in mind then figure out how to build it.
If your trying to learn the MS Data Services stack, you might want to get a handle on some SQL and REST stuff first (but that depends on you learning approach - seems alot of people these days just skip to the higher level stuff).
The things envolved that you might like to learn from foundation level to high level:
1. SQL
2. REST
3. LINQ
4. Entity Framework (I would suggest learning the basics)
5. WCF Data Services (formerly ADO.Net Data Services)
6. Sql Azure
For resources that are fresh try these:
SQL - Here is a pretty good SQL Tutorial
REST - A pretty thorough book on REST is Effective REST Services
LINQ and EF - Understanding the Entity Framework and LINQ are also important. I haven't found any fantastic books on LINQ (I have 2 of them but wouldn't recommend them). Though I think the best EF book out there is Julie Lerman's book ... though the EF 4 version isn't out yet so you might just catch a few videos on Channel 9 or msdn article on it (check their dates)
WCF Data Services - WCF Data Services home page on msdn (they have a link to the Beginners Guide that should be useful for anyone learning it). A good book on the earlier version is Pro ADO.Net Data Services - its a good starting spot (i have actually read it)
SQL Azure - For most things Azure (including SQL Azure) check out the Azure Training Kit - fantastic set of resources (videos, hands on labs, presentations, etc.)