Well from my own experience there are two big challenges.
Where to Start
Type "internet marketing" into Google and at the time of writing it returns 38.8 million results. That's pretty overwhelming by anybodies standards. Research shows that we're only going to look at the first couple of pages. We'll then try a few different search phrases e.g. "internet marketing training" still 169,000 pages.
So maybe Google isn't the best place to start. Maybe where you found this article is!
So the best place to start would be somewhere like an article directory such as this one and especially this article. However, you should also have a look at other articles as getting the points of view of other people is important. Watch out though because much of what you see recommended has not been bought or used by the people making the recommendations.
Who to Trust
This was a big problem for me when I started out. I needed to get past the get rich quick scam artists and find someone to trust. I'd love to say you can trust me. You can but you don't know me from the next guy so you're not going to and that's absolutely right.
So don't trust me so your own research and trust the right programs. If they're good you'll find it very difficult to find a bad word about any them. Okay okay, so this still doesn't answer the question of "How You Can Make a Living Online.
An example from my personal experience may give some better perspective. Like so many others, I found searching for and identifying quality information very difficult. I came across people who were superb at marketing their product, bought it and found that it didn't deliver and then had to fight them for refunds.
I was very keen to generate some quick cash and jumped into adwords which promised instant returns - I lost money. I tried this method, that method and then looked for the next.
Quite simply I lacked focus, skills, knowledge and understanding. To understand how you can make a living online you need to build an understanding of how everything fits together (it's a virtual jigsaw). The only way to do this is to get the proper training. Once I made this decision (and found some decent programs) my focus improved, my skills and knowledge improved and I began to see how the pieces of the puzzle fitted together. I even made money so I really know it works.
Now there are many many excellent training courses out there but, as I said above, google throws back 169,000 page results. So I encourage you to learn from my own experience.
But why should you trust me? You shouldn't but there are programs you can trust. Some are available for a one off payment and come with money back guarantees if not completely satisfied. Others charge a monthly membership fee which you can stop at any time. Sure it'll cost you $30-$40 for the month you belonged but choose the right program and you will be delighted.
They will show you that it takes consistent effort and focus to make money but make money you will if you follow the plans. Yes you can make a living online - it takes time to build up the relevant skills and knowledge but with the right training/coaching you can do it.