The best thing you can do, is find an archery club and join it. The second-best thing you can do is go to an archery store, hang out there, and gather information. The third best thing you can do is find a live human being in your area who shoots, and pick their brains. The fourth best thing you can do is go to various websites and get whatever clues they are offering...
And yes, I want to do Longbow at some point (there's a GORGEOUS mirkwood bow online that I've drooled over frequently) but, I'm starting with a compound bow to build up my strength and learn finesse. Once I master the compound, more specifically the back-tension release, I'll move on to the longbow.
Shooting pens...? Sounds plain dangerous to me. A proper archery range has guidelines for safety and sanity. At a bare minimum, you should be shooting into a bale of hay, against a hillside. If the arrow goes off into the blue, you can kill somebody.
Great book to get: "Idiot-Proof Archery" by
Bernie Pellerite. The very best archery school out there, as far as I know, is also by the same guy and you can read about it on his site.
Get some training, be safe, do some research. We are talking about a lethal weapon here; do be careful. But it is a great sport, and Tolkien himself said that he always wanted to learn to shoot well.
Don't you love that scene in the book where Legolas shoots the airborne ringwraith's steed? In the dark? Yeow.