I would strongly recommend that you search for one of the books on introductory DCC. Then study the section on how to program CVs until you are comfortable with changing one and what is accomplished when you do change one. After that, practice when one engine until you are comfortable with the process. You can always reset the engine and start over with the factory settings, but you need to know how to do the reset.... which is part of the "how to set CVs."
It would be very handy to have someone near that you could visit or someone you could call on the phone. You could be talked through the setting CV process in a few minutes.
Then you can get into the pros and cons of setting particular CVs, which is highly engine-dependent and highly personal. This is basically play-time where you can do it with the throttle of your system, or you can get into JMRI (not essential but convenient for many folks.)
Once you are really relaxed about changing CVs, you can spend lots of time listening to and watching the results of your changes. You'll probably want to start with adjusting volumes and whistle/horn choices, but then you'll find about 12 zillion modifications you can do. Ignore these until you are comfortable with the basics. Then maybe you can try Brian's suggestions and move on to others.