I'm a bloody noob and don't know anything about SF4. Nothing that isn't apparent at the very first sight of the game.
I think I'd feel more comfortable playing against the CPU first. It also allows me to play a lot more, because I can just keep playing whereas in online play I'll have to look for a new opponent after each match, go through character select and all that stuff. It's pretty annoying only to get beat to a pulp again.
I still need to try out all the characters and find one that feels comfortable. Learn which button does what. Don't even mention pulling off combos and special moves when I need to.
Would you generally advise against playing vs. the CPU, so as to not pick up any bad habits? Playing against the CPU a lot makes you adapt to the patterns the CPU uses a lot, but it might not even help a lot against what players do...