I recently downloaded the textbook. I'm at chapter three and i'm not quite sure how to start my first program.
You could always play with existing code until you get a feel for what is required. Have you assembled example programs? What environment are you using? (hutch's MASM32?) There are lots of little example programs all over the web - take them apart, break them, fix 'em. Look at this thread. When you feel that you can assemble the examples, and play around with existing code, just jump right in. Post questions here everytime you hit a wall. :) And we all hit walls. :) Of course, keep reading.