[MENTION=6109]Halla74[/MENTION]: I'm not sure how much you know re: knitting but I'm gonna give the whole spiel anyway so if I sound like I'm underestimating your knitting ability then I apologize in advance.
Here is...
EJCC's Guide to Getting Into Knitting
First thing you wanna do: Buy some yarn and needles!
Places like Michael's or JoAnn Fabrics are great for cheap stuff -- but you get MUCH better service if you go to a local yarn store, where the people who work there are expert knitters and probably knit all the display/sample sweaters/scarves/etc themselves.
I'd recommend either buying a combination of
Worsted Weight Yarn and Size 8 needles, or
Bulky Yarn and Size 10 or 11 needles.
You're gonna be making hats, so I'd suggest that you buy circular needles -- and plastic needles are the best option for beginners, since metal needles tend to slip out (which could mean undoing a lot of your work), and wood needles are more expensive.
Acrylic yarn = also cheaper. Red Heart Super Saver is great for worsted weight yarn, if that's the kind you decide to get.
Next thing: Find a pattern!
You may be tempted to make your own pattern right from the start -- or at least, to use a pattern with a different yarn or needle size than recommended -- but I've got to discourage that, not just as an ESTJ but as a knitter. There's a reason why they say that you learn the rules so you can break them.

One of my first patterns, I made with too many stitches, and the scarf ended up being both shorter and wider than it was supposed to and is practically unwearable as a result.
So if you want to find free patterns, I highly recommend getting a
Ravelry account. Ravelry is technically a knitting social networking site, but a lot of people use it just for the patterns or -- if you're like my dad -- just to admire everyone's work, in a similar way to admiring people's shops on Etsy without buying anything. Once you have an account, there are literally tens of thousands of free patterns at your disposal, and there's a fantastic search engine within the site where you can search by yarn size, needle size, keyword, pattern difficulty, etc.
Final task: Knitting the damn thing!
There are two basic ways to knit: Continental knitting and English knitting. I highly recommend trying them both out and seeing which one you're most comfortable with. Most people seem to learn English style, but I know Continental and I like it better not just because it's more comfortable but because it's -- no exaggeration -- about five times faster.
This video series on knitting English style seems pretty good (i.e. knittingtipsbyjudy):
[YOUTUBE="APSqlPSz1Eo"]Casting On: English Style[/YOUTUBE]
[YOUTUBE="4xho-iQdGNE"]Knit Stitch: English Style[/YOUTUBE]
And these are pretty good for Continental style (I've used some of these videos for more advanced techniques before):
[YOUTUBE="75v-grTENJ4"]Casting On: Continental Style[/YOUTUBE]
[YOUTUBE="_9XImtoQmZ8"]Knit Stitch: Continental Style[/YOUTUBE]
And that's the gist!
Let me know if you have more questions!