i .... don't know what this means... or what to do to do this...
That's why it's #3. You've gotta OWN the first two before this one makes any sense. And "knowing" a scale is so much more than being able to play it over two octaves. In fact, the physical act of being able to execute any scale, arpeggio, etc. is the least important part of "knowing" the scale. You need to know how it's built, you need to be able to figure out the notes in any key (without the aid of the instrument- do it in your head, or at least on paper), and you need to know how it sounds.
After you have the first two down, then search for information on learning to harmonize. But do it in steps. That post is labeled "Theory
Progression" because I believe that it takes an organized and step-by-step approach to LEARN this stuff in a way that's musically useful. So, in a way I agree with Chris K. I won't say "ingore it", but I will say "ignore it for now". You asked for how do I learn theory, I say this is a plan that gives you what you need to know to learn theory.
However, theory ain't the same as learning to make music. So, I'll reiterate the single most important thing I've learned. Sing everything you play. When you're doing exercises, scales, arpeggios, etc. don't just wiggle your fingers learning to execute patterns. SING them. You need to know what the next note is going to sound like before you play it. You need to HEAR the music (whether it's a scale, arpeggio, the line to "My Girl" or the line to "Get The Funk Outta My Face") before your fingers get there. Theory is only part of this- it's like growing grapes. Theory is the trellis that supports the vine, physical skills are the vine, but the music, that's the grape, and that's the ultimate goal. A great trellis with a healthy vine is useless if it ain't making grapes.
And while it's possible to have great grapes without the trellis and without a wonderful vine, the trellis and vine help you ensure a good grape.
John