Welcome to one of the nicest communities in gaming. This is my first fighting game (bought SG in February), and I completely understand the statement 'i don't know where to start'.
My advice would be to go through the first couple chapters of the tutorials. Now they aren't the best ever, but they do introduce a lot of basic fundamentals of 2D fighters better than any other fighting game out there. Then just go through the story mode with all the characters, see who you like, then return here to read through threads to gain a deeper understanding of them.
Please understand this: 2D fighting games are unforgiving. To dive deep and really improve, you must be willing to put in a lot of time (whether it be reading up, in the training room, or finding someone to help you out). But this all completely depends on how immersed you want to be in this. Many people who stick it out tend to be the type of player who wants to improve every day.
If all else fails, picks through the beginner forums and ask questions. I haven't found anyone that bites when you ask (yet...). If you are willing to put in the work and love playing Skullgirls, we are all here to help.