First of all, there really isn't any "right" way to combine colors, it's all about experimentation. Some combos would look great on your friend but don't work for you because your coloring is different. But you can learn a lot from tutorials on YouTube- the Sephora Channel has a bunch of how-to's.
The easiest way to learn the basics is to buy a palette that comes with tutorial cards. The new Too Faced In Your Dreams kit has directions for 3 easy looks and comes with all the products necessary to create them. Too Faced Smokey Eye Shadow Collection also comes with tutorial cards.links:http://www.sephora.com/browse/product.jhtml?id=P29
Sephora Collection Endless Summer also has tutorials link:http://www.sephora.com/browse/product.jhtml?id=P28
Any of these kits will get you started on how to apply colors in a fascinating way, then you can play around with colors from sets with no instructions. Believe me, I have made some awful combinations in experimenting, just wash them off and start again. It's a fun activity for a rainy afternoon when you're staying home anyways.
Hey! I think we all just sort of learn from doing it over and over. Practice makes perfect. But if I had to recommend anything that would help make sure you're using good brushes and if you need use the daily cleaner by Sephora with a rag in between colors. Also I use 2-3 different brushes when I'm goin to be using 3-5 different shadows. Sometimes certain brushes don't work as well with certain shadows. Hope that helps and Good Luck!
I agree with the above posts too! There is definitely NO right or wrong way to apply shadows and you can feel free to mix and match as many colors as you like! As long as you have the right brushes to blend the colors you can play with a variety of shades. Prettyinpa is correct that you should try a makeup set that comes with instructional cards. Or, you can pick a palette that comes with different shades that all blend together perfectly. Any combination you choose will look great
Urban Decay Urban Ammo
Bobbi Brown Party Eye Palette
Tarte Neutral Eyes Volume II
Lorac Red Carpet Reveal Eye and Cheek Palette
Sephora Collection Pro Lesson Palette Smokey Eyes
Just like everyone else said there's no right way to combine colors but personally I LOVE the Urban Decay Naked pallet. First I mentally divide my eyelid into 3 even sections. I then put the color Virgin the in the inner section of my lids. Then I take the color Sidecar and put this on the middle section of my eye. After that take the color Smog and put that on the outer section of my eye. Then mix together Sidecar and Smog and put that over the area that they meet so there is no visible line between them. Finally take the color Darkhorse and with a crease brush place this color in your crease and at the very edge of your eyelid. When Finished it look's like a natural Smokey eye. If your not a big fan of browns you can do any color using the lighter ones in the corner using darker colors as you go out with the darkest one being the one on the crease and very edge of your eye. It's a lot simpler then it sounds trust me I do it everyday before school in about 10 minutes. Hope it helped!
When combining colors, I follow the "3 rule". I pick out three colors that are closely related (e.g. white, gray, black for a classic smokey eye). Or a beige/light brown, medium brown, and darker brown for a more natural looking eye.
I usually take the medium color first and cover my entire eyelid first with it. Then I take the darkest color and apply to my crease and/or the last 1/3 of the outer corner of my eyes. Then I take the lightest color and apply to my brow bone and inner corners of my eyes. I then take a brush that's kinda round to bend the colors so you can't see where the color starts and stops so you get a nice gradation of colors.
The brush I like to use for that is this one:
Pro Natural Crease Brush #10
Also, you can use colors that are cool toned or warm toned together. I've done makeup looks using purple/blue/green combinations or yellow/orange/pink combinations. There is also many other possibilities and you can use more than just three colors.
I hope this helps