It is worth remembering that every famous Hollywood director once made their first film. From the glory days of Super 8 through to the ability for modern filmmakers to make a cost-effective feature with extremely hi-tech equipment, no matter who you are, if you want to direct, at one point you will have to make that all-important first film.
Whether you choose to make a short film or a feature is somewhat immaterial. Ultimately, the important thing is that you get experience and develop your craft. Any film can be made on a low budget, and even if it ends up not being useful for anything, the chances are that the experience will be a great deal of fun and teach you a lot.
However, for those who happen to make a particularly good first film, it can also be a very cheap show reel and calling card to get yourself noticed within the industry. DVD duplication can be found at extremely low prices, and selling copies to friends and family will undoubtedly ensure that such DVD printing pays for itself. In turn, by sending off your work to agents, productions companies and other such industry insiders, you may well find that you come to the attention of far more people than you might expect.
By using DVD duplication to get an attractive product together, you are far more likely to be noticed, and can find that even those who might normally eschew unsolicited mail may be drawn to seeing what your skills have to offer. Such an approach will also make it far easier to be taken seriously for film festivals, both regional and international.
So, if you want to write, direct, act or be a cinematographer, the best way to start is to simply get involved with making a first film and look into getting good quality DVD printing of the result.