I would avoid it as a first etude. There's no rush--learn some easier ones first that will help you prepare for Op.25 No.11. Op.10 No.12 (Revolutionary) is obviously very popular, and significantly shorter (6 pages instead of 10) and more manageable than the Winter Wind. You could also go for Op.10 No.3 (Tristesse) which is beautiful and has an impressive, fast section in the middle. You could also try Op.25 No.2 which is short, fast, and technically less demanding than most of the other etudes. It's up to you, but I would probably stay away from the Winter Wind until you have a little more experience with Chopin's etudes. I'm not sure about your exact pianistic abilities, but it could just be frustrating trying to tackle this piece so early in your career, especially because you will be wanting to play it at the speed of all your favorite recordings. It's probably my favorite etude, but I know I'm going to wait before trying to play it.
Well uh, the revolutionary etude wouldn't exactly help you too much in playing Winter Wind, and same for 10/3. Just learn it.