In The Guardian, there's some advice from Martha Fiennes.
I'm always meeting people who say, "I really want to direct a film." Well, just do it. Equipment has never been easier to get hold of. If you come up with a good idea, just run with it. A film doesn't have to be explosions and car chases. A conversation around a table can be a movie. I firmly believe if you really want to be a film-maker, then you will get there. Persistence is the key.