Download the appropriate version for your OS at http://www.vim.org/download.php
This should absolutely, without any doubt, be the first place you start. Simply your Terminal and type vimtutor
and follow the directions. Don't move on until you complete this.
One of the worst habits you can develop when trying to learn Vim is using the arrow keys for navigation. DO NOT DO THIS. To help assist you in NOT DOING THIS, add the following to your ~/.vimrc
(this is your main Vim configuration file).
" Disable arrow keys (except in command line)
noremap <Up> ""
inoremap <Up> <Esc>
noremap <Down> ""
inoremap <Down> <Esc>
noremap <Left> ""
inoremap <Left> <Esc>
noremap <Right> ""
inoremap <Right> <Esc>