Hmm. Well I suppose a lot of it depends on what sort of Lore and RP you want to get into. In most cases, this means doing roleplaying. The sort of roleplaying you will be doing depends on what kind of corporation you are. Are you a Minmatar Loyalist Faction Warfare PVP corporation? Then chances are you will be fighting against the evil Amarrian Slavers and the Amarrian empire. Just be sure to write a backstory for your character, what tribe and planet he is from, and occasionally mention how much you hate Slavers, etc.
The best place to start is to read up on the backstory of EVE fiction, including the four races, how they get along, etc. You might also want to join the Intergalactic Summit, which is the roleplaying in character forum. This should give you a good start.