Hi, I want to start Linux programming. But I don't know where to start or even what to study.
A thorough guideline would be much appreciated! :)

Current skill sets: C, C++, basic data structures and algorithms

Linux network stuff:
http://beej.us/guide/bgnet/

Linux kernel stuff:
http://www.amazon.co.uk/Linux-Kernel-Development-Developers-Library/dp/0672329468

etc etc

But I don't know where to start or even what to study

Do you have any idea of what sort of area interests you?

I am quite interested to know how the kernel works.

Then read kernel code. Too much? Start writing your own. Don't know how? Google. Programming on Linux isn't much different than on Windows, apart from the fact that some functionalities are named differently and some things work the other way; usually you don't touch these low level functions. Study whatever you want to do. Studying for the sake of studying can work, but is both tiresome and not as effective.