I agree with Juro ... a local fly shop is the best source of information and help. Most will offer some kind of class.
Contact your local chapter of TU or FFF and asked them for some help too.
The Bass Pro Shop near me (in SE Michigan) teaches fly tying on Saturday morning so you might ask.
Video tapes are OK, but when you are first learning there is nothing like hands on help from a pro.
Remember that you will save lot of money tying your own flies ...
I love that one ...