I would recommend a class first, to learn the basics and have someone monitor you as Oakleaf says. I like simple hatha yoga (Kripalu style), but I am not an expert in the different traditions.
Of course, I did it the opposite way, but at that time, I was doing yoga mostly as a flexibility complement for cycling. When I went to a class, I knew the basic poses from the DVD I had, and the instructors at my former gym were really good. However, when you are doing yoga more as a calming strategy, I think having supervision is even more important. You might not want to be alone if it brings up a lot of feelings. Even if it's not specifically a yoga therapy class, it's good to have the support of the instructor if things get overwhelming. They are used to this.