I’d recommend just trying to write a really simple app first – just something that has a bit of text, maybe some pictures, on screen and lets you tap some things. If you haven’t chosen between using Visual Basic or C# as the language to learn yet I would choose C# as it’s more popular, and also used more in industry.
Seconding the above post, this seems to be a really good link for beginners as it has about 64 videos. It’s not the latest version of wp7, but the techniques haven’t changed much – just a few new things added.
Windows Phone 7 Development for Absolute Beginners | Channel 9
I found this that’s an example of a complete ‘first’ application for wp7 mango
Developing a Windows Phone Application from Start to Finish
This is a fantastic link once you’ve written your first simple app as it has an example of how to do everything on windows phone (tiles, photos, play music, etc. etc.…)
Code Samples for Windows Phone
There’s lots of tutorials out on the web if you search. You also need to know this link if you don’t already as it’s the kind of front page for wp7 development.
https://dev.windowsphone.com
It's also here you can download the (free) tools you need to install to start developing (the WP7 SDK which includes Visual Studio Express & Expression Blend, and make sure you also install the WP7 SDK update too).
https://dev.windowsphone.com/en-us/downloadsdk
Here’s lot of videos for using the software expression blend. You don’t need to learn expression blend at first as visual studio does everything – but if you do you can make your apps looks beautiful really easily, and it make some parts of wp7 development (the ‘XAML’) a lot easier to write than using Visual Studio.
Learn Microsoft Expression Blend: videos, tutorials, whitepapers
Once you start writing a larger application you'll want to have a think about how to structure it well. This is more theory than hands on coding. This includes considering what is called the 'MVVM' pattern which (once you've grasped it) can speed up your development and really help improve the reliability and maintainability of your application:
http://msdn.microsoft.com/en-us/library/gg477144.aspx
Hope that helps! Good luck with your app!
Ian