All of my horses have gone to a show just to see it, before we have actually entered an event there. I lead them around the first time, let them go in the barns and see other horses, hear the announcer, etc.
Sometimes I take them a second time, and I ride them around, walking, checking it out again. We have small "fun shows" here in PA, and usually its 3-5 dollars a class to sign up. Freckles and I usually do the 4 western games that they offer, and its about $25 to go, including grounds fee. Some of them give out ribbons, so that can be fun. But we don't go with any intention to win, she's my heart horse and we have a good time. Usually we get 2nd and 3rd places out of maybe 13-15 people that are there.
As for practice.... what are the events that you would like to do? I ride western, and we don't have much interest in western pleasure, so we do the games... Down/Back Barrel, Pole Bending, Cloverleaf Barrels, Keyhole, etc. We don't have an arena so I practice in a nice large space of my pasture. For poles, I use large orange cones, and I put fiberglass fence posts or plastic pipe down through them. I do the same thing to make the keyhole box, etc.