I'd agree with KYA, it is much easier to start with console applications, that way you can concentrate on one aspect of the language at once. If you like to start in the middle of things, then a GUI application can be a good choice: you'll meet threading, the collections framework, exception handling and whatnot at once. I know people who like this approach, they would sit in a room for a couple of days, and finally come out with a glorious face (or completely defeated). It's up to you.
If you want to find noob projects, simply have a look at the Java board, the mortgage calculator is an all time favorite

I would also recommend Martyr's blog, he has posted some good tutorials there as well.
Reading the API, and the
Feature reference guide is really important, because just as KYA wrote: you are tempted to reinvent the wheel all the time otherwise.
I think the documentation is quite different from MSDN, but for me it's accessibility is superior, but I guess it depends on the person in question.