There are different research methods and types of research. You don’t need to know all of them. Just talk to people, ask questions, try to learn something new. You do not need to be an expert in everything. Learn the basics and find your own way to get some valuable insights from people. Listen carefully, ask right questions, avoid guessing.
Your task is to solve people’s problems and satisfy their needs. But first you need to uncover them. Do not think you know all people by default. You never know what people actually do, what they think, what they need. What seems obvious to you is completely different to other people.
It is always good to have a specific goal of your research. But sometimes you can find the goal during the research. Anyway, try to ask yourself: “What do I want to know?”. Do you want to know more about the product, market, competition? Or do you want to know more about the people, their behavior, their problems?
Different stages of a project require different research methods. Nielsen and Norman has a good article with an overview of popular methods. You will get a basic understanding on when to use which user-experience research methods. Choose any and try to practice it. It is easy. Don’t be afraid of doing something wrong. Relax and spend a great time with your audience. We are all doing the same thing, we are all on the same side. Think how to involve people in research, so that they feel themselves already a part of your product or service.