How to begin!?

#1 Definitely first check out all free resources: all the links under documentation, the TDN, and installed documentation. And if you get stumped ask on the forums of course.

I personally found it daunting trying to tackle a 'huge' project from the start and found it much more productive to first make the simplest game possible, like pong. Then make a slightly harder game, Asteroids or Tetris. Then maybe Pacman... You learn by doing, and by tackling the easiest things first you build a good foundation for whatever your final goal may be. If you are completely new even this can be a pretty long and frustrating process, but not nearly so much as trying to make a MMORPG, for instance '-)

The most important thing is to not have to high expecations or to short timelines for finishing things as a newcomer. If you work on it some every day you will start to notice your improvement.

I am currently making a Classic Games Starter Kit (for TGB) which is a compilation and rewriting of some of my own learning projects ( Pong, Asteroids, Pacman, Tetris, Bomberman ) plus written tutorials. Keep an eye open for it in a few months.

On the other hand, if you really just want to make a 3D FPS, TGE is actually ideal for this. It comes with a lot of basic FPS functionality out of the box. Of course this will only allow you to make a very generic FPS until you learn your way around script and finially C++. There are also two books intended for the newb learning TGE: "The Game Programmers Guide to Torque", and "Game Programming All In One". The second of these books does cover basics of TGE art creation as well as coding; however, the first is a bit easier read and easier to use as a reference IMO.

To answer your other question, first learn to use the tools that come with Torque, and then at the same time scripting (the above mentioned books are excellent for this if you are using TGE, and the documentation / tutorials for TGB are excellent for this if you are using TGB). I assume by "the world" you mean creating a level / terrain / mission ( the terminology is different between TGE and TGB ).

At some point you may want to decide whether you want to focus on game art, programming, or level design (the big three divisions). If you are are doing this all for fun and want to learn it all--you can do it. But personally I would pick one and then look for partners with complementory skills to help on your project. Better yet, once you have developed your skills in one of these areas a bit you may be able to find an actual contract job helping someone elses project. There is lots of need for contactors so you may be eligible for work before you realize it and working with others for free and later for pay can also be a learning experience, just make sure you advertise your skills appropriately.