First off, read what has been suggested. Maybe visit your local Hastings or Barnes and Noble and look for knife making books in the crafts section. Buy what you can find and read up.
After you have a good foundation from that, pick your steel. A great beginner steel for a home-brewed heat treatment would be something like 1084. O-1 is great, but requires a bit more accuracy in your heat treatment.
After you've determined the steel you want to use, search or ask for advice on how to heat treat that specific steel. Each steel has its own process for heat treating. One size DOES NOT fit all in that regards.
As for what kind to make, start simple. Draw some sketches. Cut out some cardboard shapes. Make something you like that is fairly simple. Make sure it feels good in your hand. Every knife I make must be comfortable to hold and use, and I check that often throughout the process of making the knife. Hang up the profile you cut out of cardboard against a window and stare and the silouette. See if the shape pleases your eyes. If not, make changes.
After that, try your hand!!
Learn as much as you can, take your time, and over all else, have fun (and be safe).
--nathan