UFO: AI is a rather large and complex project now, as it has been worked on for years, so I'd have to agree that starting by trying to help code such a project wouldn't be the best idea.
I'd suggest something simple first, if you're moving beyond a "hello world" type of thing I would start with picking one of the easier 3D graphics engines and making a small, lightweight dumb little game that you don't intend to flush out into anything huge or complex. In fact, I've heard many programmers say that if you're new and want to get into serious game programming, you should actually make several simple little classic games, in increasing complexity, before you take on a real project that you really want to make something serious out of.
I did that myself, I started with C++ and the Irrlicht engine, simply because it is extremely easy to work with as a 3D graphics/game engine, although there are also other good choices out there.
If you stubbornly stick with it long enough, you can then "graduate" onto something big like UFO: AI.
