I would start by looking in the Yellow Pages of the local Phone directory. The next step if none were listed would be to call or visit a store that sold guns and ask.
You might mention on this forum what part of the world you are located in so we could better direct you.
And yes, new members are typicaly walked through gun club facilities and observed to determine whether they should be turned loose or not. Club members will typicaly see that a new shooter is informed of appropriate gun handeling, but be sure you obtain some training before hitting the range on your own.
Welcome to the Forum and the world of guns.