I'm not that experienced in languages, unlike others here (EG: HyunWoo), but I kinda think it depends on the language and/or what works for you. We all learn and work differently. However, I learn best by: learning the alphabet (if there is one); then learning basic grammar and building upon it - like building the scaffolds of a house til you have something more complete. However, others may learn differently - some people probably learn better by learning words first and building on them. Others may learn better simply by listening a lot. EG: My husband knows quite a lot of Japanese simply from having watched lots of anime, movies and simply being interested in Japan.
What I'm saying is that I think it's different for everyone. You just need to figure out what's best for you. ^_^ But however you learn, I'm finding that learning another language not only keeps your brain active, but is a very rewarding thing to do.
OK, /end rant. =P