I have the AEM UEGO as well for my STi and all you need to do is follow the instructions and pick up the needed rs232 female connector kit (radio shack has it), ground wire, and a rs232 to usb cable. This will set everything up for your lap top to log. Not as sure what type of cable you need to connect it to your AP though.
Back in 09 i was in the same place as your are now man. I started out buying a Tactrix cable and down loading a stage one tune from XPT. Then moved on from there. Honestly I am no ware near as knowledgeable as Td_d, Holycrap, or Fuji. I have learned so much from them that it is stunning. I would start with the Bad noodle guide, I still use it as reference to this day. As for tackling the meth I would wait if I were you. First try and get a firm grasp on the basics before you move onto it. I still haven't installed my own Coolingmist CMGS for this reason (that and i'm lazy). I would stick with the stage two map as a base and work on it for now. Start in the order that Rek suggested. You want to make sure that while you are playing around with the tune you have safe fueling to reduce the chance of detonation and potentially blowing your motor. Then maybe move onto boost and waste gate duty cycles. Just work on understanding how they interact with each other, and how the TD (turbo dynamics table) interacts with both.
Personally I am a very conservative tuner. Right now I am running an AFR of 10.3-10.5 under heavy load. My timing is no where near maxed and that is how I like it right now. So find your style man and run with it.
Best of luck! :tard: