Scripture is YHWH's Word, without error in the original documents, preserved by divine grace, and profitable for spiritual and practical learning as a basis for life and Godliness (I Timothy 3: 15-17; II Peter 1: 20-21; 3: 17-18). Every believer needs to study it closely day by day - paying special attention to the first five Books, the Books of Moses, which are called "Torah" - God's Divine Instructions in Righteousness.
Here are some suggestions:
Read the Bible through, beginning with Genesis, at least a chapter each day. To understand what you read, let Scripture interpret itself (read I Corinthians 2: 9-16; II Timothy 4: 13). Compare what you are reading with similar words and statements in other places. Use the maps in the back of your Bible to find places which the text refers to. Build up a little library of good quality reference books in addition to your Bible, but remember that these are helps to understanding God's Word, and must not be allowed to replace it!
No Bible version is perfect, and so we suggest you use your favorite version, but acquire a couple of other versions for comparison.
Seek help from more knowledgeable people if you need to, especially when you are first new to the idea of Torah. Carmen Welker's book, Should Christians be Torah Observant? is an excellent resource for beginners. But remember that what the Holy Spirit teaches you personally from the text is what is most important!
Mark your study Bible, using a highlighting felt tip pen and a fine black ballpoint pen. Indicate helpful cross references and important points and passages that "stand out" for you.
Try to find a good Messianic synagogue, or find a home meeting. Listen carefully to godly Bible teachers in your groups meetings or synagogues, and make every effort to obtain the best of what they are attempting to impart (Ephesians 4: 11-13; II Timothy 4: 13).
As you continue prayerfully with this approach, things which seemed difficult at first will gradually become easier, and you will learn with increasing speed as you build on the foundation of things you know already.
Remember, for lasting benefit it is vital to commit yourself to our Creator in terms of every insight He gives you, so that His grace may become operative in your life via the Holy Spirit (see Ephesians 2: 8-10; Colossians 2: 6-7).