This is an excellent question!
Whatever you do, at all cost, avoid studying modern philosophy, at least until you have a foundation in Thomistic or Aristotlean studies.
John Vennari offers a course by Dr. Raphael Waters that I've heard is very good. I think it's on sale now, but you can order sample CDs to check it out. Waters has a colloquial, English style (he's from Australia) and puts a lot of humor into his work, which helps to get you through the difficulties.
Another very good one is Brother Francis of the St. Benedict Center, whose course in 8 parts is called Philosophia Perennis, since it is from the ancient world through the present, IOW, timeless. It's based on St. Thomas and Aristotle/St. Augustine. The school is the Saint Augustine Institute of Catholic Studies.
You should start at the beginning and work your way through, systematically, because it builds on a foundation, and if you try to skip parts you will not be able to understand the later material. The first courses are Logic, which right away is different from what you'd get in a modern college, because it's not mathematical symbols, but is centered on precise use of the mind in perspectives of intellectual concepts. The modern penchant for reducing Logic to symbols of abstraction has been the beginning of the end of the study of philosophy for college students. What comes from that has been no good, and so it should be abandoned, as a failed experiment, kind of like the Novus Ordo failed experiment.