In reply to Csimp1:
I would second Conville course. Also check local climbing clubs. More expensive option would be to join one of the excellent courses run by companies such as Jagged Globe and Icicle or hire a guide.
Cheapest but potentially most risky would be to self teach perhaps with some mates. Excellent books available such as Bruce Goodlad's, BMCwebsite and video are good, lots of instructional videos on line but not all appropriate in my opinion. You can practice many of the techniques required in the UK. The good folk of UKC would, I'm sure, be delighted to suggest an alpine itinerary depending on where you are thinking of going.
My first suggestion would have to be the Goodlad book.