How to learn?
There are many ways to learn new things, some of them are quite personal (= as in: they only work for some of you, and not for others). Some people are able to learn new things by reading a book or blog post. Some need to visualise things, and others need someone to explain things in a video or face-to-face setting. There are solutions for every methodology. You can buy books or read publications online. You can take classes (online or in real life), and you can find lots of online challenges to practise your new skills.
There is nothing wrong with any of these approaches, as long as you understand what works best for you, so you can adapt your strategy accordingly. The common aspect of all of these learning methodologies is to get practise. Trying out things for yourself (guided or non-guided) will make it easier to remember and to eventually transform the knowledge into understanding & experience.
In any case, having up a virtual lab environment can be extremely useful. Nowadays, Virtualization technology is now available for most common platforms, it’s cheap/free and allows a great deal of flexibility. VirtualBox, VMWare, Parallels, Xen, Hyper-V are just a few examples.
Although this is not a catch-all advise, you’ll get a long way by installing a Windows and a *Nix/Linux system. Of course, understanding how to manage & operate these systems is fundamentally important. You don’t want to spend your time fighting the tool that are supposed to support your learning experience.