This is rooted in asking historical questions and using primary sources to investigate those questions.
How do I ask historical questions?
Find a topic that interests you and ask specific why or how questions about the information you learn. For example, In what ways did Cajun identity change in the 1950s?
Nothing with a simple answer: Who was the first Cajun musician to record Cajun music?
Nothing with a yes or no answer: Did Cajuns appear at the 1936 National Folk Festival?
Locate secondary research on that topic before searching for primary sources.
Talk to professors, librarians, or other experts!
Keep asking questions -- let the things you learn revise and shape your questions as you go.