How WordPress templates work?
There are two things that really helped me.
Check out the default template first. Try changing some PHP files in your wp-content / folder.
Second, when you feel like you understand the basics of what's going on, skip to some of the Wordpress tutorials. They are informative and helpful.
Nice introduction.
http://codex.wordpress.org/Stepping_Into_Templates
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I also recommend browsing the database. Log into PHPMyAdmin or something similar and see what happens where and what it's called. He clicked me when I saw the column names later in WP tags called "blog_description" or whatever, and I knew he was calling.
And outside of the codex, you can actually dig into "real" PHP, which runs the engine, not "pseudo" PHP, which contains WP tags, etc.
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Start with a template hierarchy diagram: (Visual Overview Section) http://codex.wordpress.org/Template_Hierarchy
Then read the relevant PHP file to see what happens depending on which page is being displayed.
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If you like screenshots, WordPress TV has a walkthrough of the anatomy of a WordPress theme that might be helpful: http://wordpress.tv/2009/03/16/anatomy-of-a-wordpress-theme-exploring-the-files-behind -your-theme /
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