Inventor is a "pick it up and play with it to learn" program. I found that going through the tutorial project (a shower valve, I think) helped a little to get started. After that just start modeling stuff around you, learn when to use extrude vs. revolve, etc.
Once you're comfortable with the basic sketching and modelling operations spend some time learning about constraints - mastering them is really important if you want to do complex parts and assemblies.
There are a number of online resources with Inventor tutorials, too. Some good links:
http://www.cbliss.com/inventor/
http://www.sdotson.com/index.asp
http://www.mymcad.com/
Mechanical Desktop on the other hand is a royal pain to learn without a good tutorial and/or taking a course. It takes a lot of effort to do real engineering drawings in MD, but it will make you appreciate Inventor! MD does do a better job on 2D drawings than Inventor, though. It just takes more work.