Before you decide to model anything just become familar with all of the tools that are avaliable. Well all might be over whelming but all of the basic modeling tools that are avaliable. Just try making a box, converting it to an editable poly and just trying out all the different tools that are avaliable in the modifier panel. Once you have an idea of which tools perform what task, then you will have a better idea how to achieve certain tasks.
There are many different ways to model, and its really just up to you because in the end it will all be the same. I also like Maty, start off with a single plane and extrude it out and shape it to a model. However sometimes I like to make a basic model which would be made entirely out of primitive objects. This way I can see what it is I'm trying to model, and keep the proprtions check. I guess you could say its kind of like a rough copy to get you started. After that I would go ahead and model over it with a "good copy" mesh.
As I said before thats just one way to make models. I do not prefer one way over another. I tend to model each part differently based on the best possible way to model that particular object.
For your first model I suggest that you do not tackle something that has a lot of organic shapes and curves, but rather go for something a little more easy to do. As Maty said already, a car is actually quite difficult because it has lots of organic curves. So I too would recommend that you try something a little easier.
One of the most helpful set of tutorials I found were from 3D Buzz. These guys have a bunch of video tutorials on so many different things. They throughly explain what you need to know to use a certain application like 3ds max. If you bought the limited edition of UT3, you'll notice there are some video tutorials and they were all made by the guys from 3D Buzz.
So goto their websites, register, and you'll be able to view all of their free video tutorials. http://www.3dbuzz.com
remember, start off easy, then slowly work your way up.