Write your own screenplay or work with a friend who writes.
Get a group of friends together on the weekend and shoot scenes for a short film. Over time, you can edit the scenes together using a program like Adobe Premier.
Making short films will force you to start learning the technical aspects of directing. You'll need to know how to edit, write, and do everything else, too. Making your own short films will give you a chance to wear multiple hats and develop different skill sets.