UX is a very diverse field, there is not really a step by step guide.
UX research is not the first thing I would start with, not at all.
First get a feeling about how normal users think, and how they interpret designs. (basic usability heuristics). The usability books from Jakob NIelsen are a good starting point, "Don't make me think" from Steve Krug as well.
Follow some general UX sites & blogs; by just reading articles you should be able to decide which aspects interest you. Not every field will be preferred by every person. Information Architecture can be a lot less creative / more technical then UI & interaction design etc ... Just get inspired by blogs & articles to get a feeling what it's about, but (re)learn it with books. There's a lot of bullshit written on the web about UX since it became trendy (IMO). Right now a lot of designers call themselves UX designers and write about it without even mastering the basics. There are a lot of reputable sources online that go more in-depth. But you should IMO start every field with the basics, and a book is the right starting place.
Once you've decided what fields grab your interest, I can guide you further by recommending some descent books.
Be prepared to learn a lot, and your design work won't be so simple anymore as you'll learn how every tiny design decision can impact the user.