Read and study. Read everything you can get your hands on that will tell you more about beliefs of Witchcraft, such as books, web pages or online magazines. Only by learning as much as you can about the basic beliefs and tenets of Witchcraft can you decide if the religion is the right path for you. While reading books and studying the written words are highly beneficial, Wicca and other forms of the Craft are nature religions. Get outside and experience the Divine's creation. Go camping. Take hikes through the mountains. Swim in ponds and lakes. Bask in the glow of the sun and moon. Watch birds. Go stargazing. Learn all you can about the Earth and Sky, which are the bodies of the God and Goddess.

OK, so you know the basics and you've decided it's definitely something that fits into your belief system. In a notebook or journal, begin writing down some reasons why you think Witchcraft is your path. What does being a Witch mean to you? What do you hope to achieve and learn through Witchcraft? What do you fear if you follow this path? How do you visualize the God and Goddess? What does the Divine mean to you? Be completely honest. Nobody will ever read this but you. (This notebook will eventually become your Book of Shadows.)
There are no right or wrong answers to these questions. It's not a test, but simply a way to help you define your path.

You'll notice I haven't mentioned anything about spells or ritual yet, because you need to complete the first two steps before you think about working with magick. Magick is not hocus-pocus, it's not bending the natural order of things to fit your needs. Magick is simply raising and channeling energy that is found in yourself, in nature and in the Divine to achieve a desired result.
Before you begin working with magick, you need to understand what it is, where it comes from and the ethics involved in magickal workings. Remember that you are responsible for your own actions. If you harm someone with magick, you will face the consequences, probably sooner than later.

You also need to understand the basic structure of a ritual: casting circles, calling quarters, invoking the God/dess, raising and directing energy, grounding and centering and closing the circle.

Know the moon phases and how they affect magick. Learn them well enough so that you always know when the moon is waxing, when it is full, when it is waning. Learn to feel how the moon affects your moods and your body. 

Try some meditation and visualization exercises to increase your concentration. The ability to focus and visualize will greatly increase the power of your magick. 
Learn to be calm. Learn to pull strength from within yourself and from the earth, sun, moon and stars. Learn to be still. Learn to hear the voice of the God and Goddess when It calls to you. 

Now you can begin some basic spellwork. You should not use word-for-word spells or rituals that are written in books or posted on web pages. Those spells were written for the writer, and should be used only as guidelines when creating your own rituals. Every Witch should write his or her own spells. 

If everything still feels right, and if you still feel like Witchcraft is the path for you after all this studying, now is the time to perform a self-dedication ritual.
This ritual should be yours and yours alone. Design it however you want to, and in a way that will be most meaningful to you. A dedication ritual means exactly what it sounds like it means - you are dedicating yourself to the Craft and telling yourself and the Divine that this is the path you wish to pursue. 

I usually recommend a year of solitary study before a Witch considers joining a coven or a circle. This gives you a chance to celebrate one full cycle of Sabbats, and to learn what works best for you.
Some people may choose never to join any kind of organized group - that's fine. A solitary Witch is just as much of a Witch as a coven Witch. But even if you don't join a group, you might want to consider finding other Witches to circle with occasionally. It's always good to learn new ideas.

There are many differing opinions on the concept of initiation. In my opinion, there is a difference between initiation into the Craft and initiation into a coven.
Initiation into the Craft should always be a solitary ritual. This is a private moment between you and the Divine, where you are fully committing yourself to the Craft and to the Lord and Lady. An initiation should be something that's meaningful to you. The ritual should be written only by you.

A coven initiation is a means of bonding a group together as a whole, of establishing trust among a "family" of Witches. It should not be an initiation into the Craft, because, like I said, that is something that is a private matter for each individual Witch. The coven initiation should be written by the entire group and should incorporate elements of trust and sharing.

Don't think that your studies are over just because you've been initiated. The Craft involves constant learning and growing and changing.

Some of this information taken from The Craft