Here are some options:

• Thuum.org/learn/ - lessons that go over things like grammar and pronunciation. The exercises might help you out too.
• Memrise course - a good way to begin memorizing the vocabulary.
• Translate Word Walls - whenever you come across a Word Wall in Skyrim, copy it down and try translating it. I found this to be really helpful when I first started learning.
• Turn on the subtitles - this is helpful too whenever you find yourself in conversation with Paarthurnax. Turn on the subtitles, copy down some lines, and see if you can translate what he's saying.