You are certain you were never baptized?
If you were never baptized, please contact the office of a parish near you and tell them you are interested in converting to Catholicism. In the USA, it’s common to go through a program called RCIA. You can go through the program and decide not to go through with it if you don’t want to. In the USA, many RCIA programs run from September through Easter, so the 2018 to 2019 class is about halfway through already. They may put you down to enroll in the 2019 to 2020 class. My notes may not apply to all dioceses, especially in other countries, so start by contacting your parish office to find out more.
In the meantime, I recommend still attending a mass every Sunday. Do not receive communion, but otherwise feel free to participate (or just observe) everything else. You can still worship with us and start your journey.
If you can watch the program called Catholicism by Bishop Robert Barron, that can give some good introductory material.