All of the advice above is right on target.

My guess is you're interested in hunting big game; especially deer and elk. Understanding the basics and the rules in CO is essential and gets covered in the Hunter Safety Education class. Start by getting signed up for one of these classes - attend in person, not online. Before attending an in-person class, look online for information to help you learn what questions you should be asking. As the course progresses you'll likely form more questions. Write down every question you have. It's hard to know what questions you need to ask until you have a basic understanding of what it's all about. If you get more questions after your Hunter Safety class (and you will), visit your nearest Parks and Wildlife office and talk with them. Meanwhile, REALLY check out the Parks & Wildlife website and talk to anyone you might know who is a hunter.

The initial education and purchasing of gear is just the beginning. You need to know the minimum gear to carry. Always assume a nice day will turn to shit while you're out hunting and ensure you're prepared for it. When you know what you want to hunt and you've done online research & talked with others who hunt you need to decide WHERE and when you want to hunt (according to the seasons and approved locations). Some areas of the state require you to draw out a permit, others allow "over the counter"; this often determines where you'll be hunting.

Once the "where" question is answered, GO to that area as often as possible and, as Def90 said, "bino hunt". Knowing the terrain and how your body is acclimated to it is important. The better you know an area the better your chances of harvesting an animal and less of a chance for getting lost. GPS units are great, but always have a compass on hand as well and know the basics for how to use it to get back to camp. Knowing yourself and your physical capabilities within a given terrain is also important to prevent injury or death.

In between visits to your chosen hunting grounds, determine the best legal caliber to hunt with FOR YOU. Big game has certain minimum caliber/bullet requirements - learn them. Find a rifle (if you're planning to rifle hunt...or bow or muzzleloader if those are your choice) that's right for you. Then, once you've acquired the firearm/bow, get out and practice OFTEN. You need to know the instrument and how it shoots with the ammunition you settle on. You need to be able to accurately and consistently be able to place your shots so when you're in the field you'll know your limitations and be able to make ethical shots. This is critical.

All of this leads up to the harvest. Once you harvest an animal the real work begins. You need to know how to legally tag and field dress the animal (maintaining proof of gender on at least 1 quarter of the animal). Dressing out the animal is time critical to avoid meat spoilage. Heat, whether from the animals internals or outside temp, is NOT your friend. It isn't too difficult to dress out an animal, but gets messy (unless you use the gutless method). Know your legal & ethical responsibilities for the meat & carcass!

Now you have to get the animal out of the field and back to camp or to a processor. This is typically tiring, time consuming and back breaking work. If you have friends who can/will help you'll owe them big time if they do help. If you run into an outfitter you may be able to enlist their help - for a fee...just have cash in your pocket to be able to pay them.

There's more to it, but this can get you headed in the right direction.