With any research, you have to start from yourself and work backwards, Clare. Get all the docs pertaining to yourself, your parents and your grandparents together, and record the details. Depending on what country you are in, your grandparents' birth certs will record your great-grandparents names, and you should get their ages and places of birth. If they are in Great Britain, the Registers of Births, Marriages and Death go back to 1837 (try freeBMD,com), so (assuming your surname isn't Jones or something so common it drives you nuts) you might be able to go back to around that time. Before that, there are church registers, many of which have been copied online in sites such as freereg.com. The censuses, which go back to 1841, are also very useful for tracking families. There is freereg.com as well.
Let me know if you need any help. Glad to give some pointers. I am in Australia, but have successfully negotiated British documentation. Cheers