if you have any background about statistics then it will be helpful. else its a little challenge to understand the technicalities of statistical modeling.

you should read some fundamentals on data mining. google for it.

also go through online text book from statsoft at http://www.statsoft.com/textbook/

Once you are clear what is data mining, its various techniques then download any opensource software like R or Rapid Miner to create models on your own.