If you're just starting out, try get some form of proper instruction, like a private tutor, school or friend who knows stuff. Its quite essential to get the proper basic techniques done well(finger positioning, strumming, plucking, etc).
If you're beyond that, then everything else like scales, speed training, watever can more or less be done independently with books, mags (Total guitar for instance) or some tips found at some of the threads here.