Hello, my name is Grant and I just bought a 2002 Mazda Protege5 the manual Hatchback and want to start modding it. I've never really been into the car community before this and would to here how I should start. Thank you!
Welcome! The P5's an interesting car to start modding with. It'll never win pulls N/A, and setting it up for turbocharging is a major pain, but that chassis will make you smile, and it has a style the world will never see again.
Before really diving into mods, I'd look up quirks, odds and ends about the car, know where it's at in its maintenance cycle, and learn its limits while stock. For example, P5s eat bulbs like no tomorrow, the piston rings tend to go bad quickly on these, and rust is particularly bad. Much like mspeedP5 said, root around the forums and build page sections. There's a lot of great content in there, and it'll give you ideas for mods, but firstly place your attention on keeping the car alive and well.
For first mods, I'd go for a rear swaybar (beware the weldnuts!) and some good tires. If you're into cornering and track performance, I'd learn how to get the most out of the car's handling before opting for more power.
Get acquainted with your local junkyard for parts, get some basic ratchet/socket/wrench tools, always hunt for part deals, and talk with fellas here. You never know if someone's looking to get rid of parts, or has insight on a problem you're dealing with. Also try and find fellas in your area with a Protege. I got a whole crapload of parts for free from a fellow Mazda enthusiast, and I'm currently getting help restoring a CF hood from another friend.