If you're ready to do your market research, but aren't sure where to begin, here's a suggestion on how to break your market research down into manageable chunks:
Decide what market you are in
Find out as much as you can about this market
Find out as much as you can about your customers
Find out as much as you can about your competitors
Try to estimate the size of the market - and how much of it you can realistically take
In the market research section of the blog, there's be an entry on each of these topics, starting with what market am I in?
You could also download this one page plan for DIY market research - which outlines the key stages for doing market research.