I'm fairly new to this myself, but I've played around with Arduino TCP, UDP and MQTT protocols a bit.
I found the easiest and most up to date method to set up an MQTT broker (I use a Raspberry Pi as host with a Python script, but can be any pc) and have Arduino act as an MQTT client.
You might get a board like the WeMOS D1 which is very easy to setup for web client/server operations so you can start learning. Also use the forum Google search function in the upper right of this page to search for the key words of your project. You will probably find many similar previous project discussions and code to get you started.