New reader looking for tips on getting the most out of books.

I've never read for pleasure, but after watching the TV series I'm really interested in reading the Game of Thrones series. I've tried getting into books before, but I always end up reading the first few chapters and getting lost. I have a difficult time picturing the story that the words are telling.

I really want to understand the plot and get to know the characters in this book. Do you have any tips?