+1 fubar, I'd just start off with a Teach Yourself type book for Java, or even the 100% free Sun tutorial. (C# probably has similar stuff, but I'm a Java programmer…)
The main thing, for me at least, is to actually build something – learning for learning's sake is far too hard.
As a cyclist I'd suggest a training log, it's easy to understand conceptually, and has enough scope to be interesting. It's also potentially useful:
* start off with a command line version
* download mysql / oracle xe / sql server and add in a database
* install tomcat (or similar) and make it web based
* jchart, add in some graphics.
* file upload for maps
* etc.