your question is very general. there are two major components in studying STATA. 1, data management, which usually takes most of your time; and 2. statistical analysis.

for either component, I suggest you read one or two books and PRACTICE the examples in the books.

1. the basic stata manual: Getting Started with Stata for Windows
2. some other more advanced books, such as Hamilton's book, which you can get from this website

with some basics, the best way is to check the reference manuals when you have a problem at hand.

可以上一些学校的bbs或ftp的课程讨论，他们会有在里面发课程的程序和要求等。

去ucla的网站啊
http://www.ats.ucla.edu/stat/stata/default.htm
都是例子和程序

多谢四楼的！我也在为此事伤脑筋呢！谢谢！