To begin with, you should have a clear idea of what you want to be able to do as a musician. Do you want to be able to play an instrument, talk intelligently about music, sing, dance, compose? Be as specific as you can: As an instrumentalist, do you want to be able to improvise or read music? As a knowledgeable listener, do you want to be able to discuss Baroque or indie rock? If you don't have a music-learning goal right now, it is fine to simply choose something that you believe you could do and would enjoy being able to do. Your question for this inquiry is What kinds of theoretical understanding help people do this musical activity, and how do they gain this understanding?
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