Access an Urdu to English dictionary. These can be obtained in book form or through websites such as UrduWord.com
Familiarize yourself with the Romanization of Urdu characters. Although the language has been converted, the characters produce sounds that are not the same as English pronunciations. Check a website such as Omniglot (omniglot.com) for a list of Roman Urdu characters and their pronunciation written phonetically.
Listen to an online Urdu radio station such as Live Urdu if you are still unsure of the pronunciation of Urdu. This will provide you with a sense of the pronunciation and intonation of the spoken language which will help you with your reading.
Buy an Urdu textbook written in Roman characters. Work your way through the book with the aid of a dictionary. This will likely be slow and require trial and error, but is necessary if you plan to be self-taught.
Enroll in an Urdu language course if you have difficulty teaching yourself. Organizations such as Communicaid offer courses in Urdu, make it clear that you want to learn the language in Roman script when you are signing up for classes.