If you just started, holding the pick is the least of your worries. Hold it by pinching it, with your thumb in the middle (NOT HANGING OFF). Later I can show you why, but for now just hold it so it's comfortable for you.
It should point perpendicular to your thumb. Hold it JUST enough so it doesn't fall out of your fingers (any looser and it would!). Angle it at about 40 degrees to the string... you know, just a little bit of a slant, not too much.
The picking motion should come directly from your WRIST. Not your fore arm, and not your thumb.
The best exercise for mastering picking at an early level is to practice string skipping. Play strings that are not adjacent to each other, and you will get much better, much faster.
But your first goal should be to have fun playing a song!!! Try to learn something like ode to joy on a single string, or like smoke on the water or something.. something EASY so you don't have to struggle and it'll be fun. :)
After you can play a simple song like that, try learning something that has a lot of string skipping in it (but not very much finger motion) so you can focus on both your hands evenly. :)
Free Progressive Metal-Jazz-Punk Fusion Musicwww.matteomillernicolato.com/Music.html
San Diego School of Guitar
Free Guitar Playing Instructional Resourceswww.guitarlessonsinsandiego.com/Resources.html