Start studying the MVC pattern. You will understand the roles of the model, the view and the controller and know where goes each part of the code.
Read the guide. It is the most important step in learning Yii. A few tips:
Explore the API documentation. See the relationship of the classes, how they extend and are extended by each other and how they are organized in packages.
Very important classes (check them and their extended/extending classes throughly):
Explore Yii's website. There you'll find:
Then, you can start a fresh Web app project to do anything you want to learn the framework. I suggest that you read the framework's source files and follow the execution path of the methods you call. You'll learn a lot about how it works internally. This knowledge will prove very useful in the future, trust me.
Selected wiki articles that will help you hit the ground running:
Selected extensions that will help you get started quickly: