longbow voiced a very sound idea; create and solve a problem.
Start simple. Make a shoutbox. Make a hits counter.
Then start progressing into more challenging scenarios. Make a user login system. Add 'administrators' to that system that can manage users.
By now, you'll have (or should have) started using database software, such as MySQL. In my opinion, PHP and MySQL (or MSSQL, or whatever database software you use) often go hand in hand. That is, they work well together to accomplish a common goal.
Don't forget, if you dream up a problem you and you get stuck (i.e. creating a guestbook), search the internet for a simple script already made that serves the purpose your script is aimed at and look at the inner workings of the pre-made script. What functions did they use? What security risks were confronted and how did they help protect against hackers (SQL Injections, etc.) ?
Start answering these questions and solving these scenarios, and before you know it, you're picking up speed and start learning more and more.
Never give up, never surrendur, and never overlook the manual.