Where to learn

Beginners would normally need 3 or 4 lessons

 It would be the best to start learning on a flat and warm water, in a place with nice sandy bottom. The destination depends on your budget, whether you want to do something else on this travel (like spending time at the beach, sight-seeing, etc.), and if you have a companion who is not interested in windsurfing at all.

Option 1: Windsurf places in the US around the Gulf and Florida

Probably the best budget option, especially if you can travel by your own car. Search the Internet and you will likely find quite a few options. Like Worldwinds in Corpus Christi, Texas.

Option 2: Viva Wyndham Tangerine in Cabarete (the Dominican Republic - Puerto Plata)

This is the only all-inclusive resort (which I know of) located close to windsurf schools. This resort is not the best, nor the worst. Get a room in the Palace building if possible. You can walk down the beautiful beach to a training place 10 minutes away (check Vela).

Option 3: The island of Bonaire (surf stations Jibe City and Bonaire Windsurf Place)

Bonaire is probably the most expensive option, but if you can afford -- go for it!

In addition to the common travel research, you will need to check the training place itself, and discuss your training plan with the host. What to bring, how to dress, who will be teaching you. It's better research what people say about the instructor. Remember you are going to spend considerable $$$ on this trip, and you definitely want a good result!

Note that if you happen to get to Greece or Egypt, they have many more training options. If you speak German, check Robinson Club Resorts. 

For more schools in North America and Caribbean, check the map.