1. Start off by just picking something and running with it. Most of the time, it doesn't make a difference which engine or language you pick since they all involve learning similar concepts, and if you chose the "wrong" one, you can always switch later.
2. You're not going to make your dream game off the bat. That shouldn't stop you from trying, but having realistic expectations can help you not quit when things don't go the way you expected them to.
3. Following from #2, it's going to take a lot of time and effort. Don't be discouraged if it takes months or even years to finish it - it's not abnormal even for experienced developers.
4. Try not to get intimidated by something new - far too often I see beginners to programming completely shut down when they're faced with something that deviates slightly off script. You're not going to destroy your computer by introducing a type error.
5. Figure out how you learn best. Do you learn better when going through videos? Or through browsing API documentation (which you will frequently have to do)? Or through worked examples? And, how can you continue to learn effectively when your preferred method isn't available?