Welcome to EVE!
Assuming you have completed the tutorial, your next stop should be to run some special missions from what are called Career Agents. You can find information on them here:
One of the tracks is specifically related to mining and industry, and part of the reward for completing these is a mining frigate called a Venture.
To get deep into mining, yes, there is a large set of skills to train and ships that can be flown. And introduction to that can be found here:
Bear in mind that mining as a career is largely reserved for Omega status. Alphas can do some (flying a Venture, for example), but most intermediate or advanced mining is limited to Omegas due to skill limitations.
Good luck and let us know when (not if) you have more questions