What are you hunting?
Large game you will typically gut where you shoot it so you don't have to drag out the extra 50-100lbs. Gutting is pretty basic. No real right or wrong way to do it, given you have some common sense. You don't want to stick your hand up a deer's ass or down it's throat to pull the guts out, of course. Just cut the belly open lengthwise and pull out the steamy, stinky stankness.
Small game is a bit different. Basically you want to cut a slit somewhere on the top/back of the critter and peel the skin off after you gut it. A squirrel, for example, is skinned by cutting a big enough slit from side to side across the shoulders to where you can get a few fingers in on each half and then pull back, lengthwise, until the skin is down to the last joints on the legs, at which point you hack off the legs at the joint and are left with the final product before you wash it, soak it and then cook it or freeze it.
Lots and lots of guides online if you look, but experience is by far the best way. Methods vary by region I have found.
If you're doing a deer it's probably best to either let someone who knows what he/she is doing guide you through it (best option, so that you can eventually do it yourself...) or take it to a butcher and let them do it all.
edit: And be sure you like the taste of what you're hunting. nothing worse than hunting something and finding out you hate it, then wasting the kill. Squirrel is pretty gross imo. I quit hunting them years ago when my grandfather no longer wanted any... I used to just hunt them a few days a month to give to him for his freezer 'cuz he liked them. Rabbit is decent if done right, especially BBQ'd w/honey. My faves are venison and pheasant. Love 'em and could eat them all the time. Grouse is good. Elk is an acquired taste, to say the least, as is most large game. Buffalo is pretty good.
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Don't make me go pop the trunk.