How do I do primary market research?

There are many good resources but I would suggest starting with “Talking to Humans” by Giff Constable. This book does an excellent job of making the subject matter approachable to people who have never done primary market research before.

Once you get past the discovery research to build knowledge about your target customers' needs, wants and expectations, you can progress to product testing / hypothesis testing. At this point, read Giff's second book, "Testing with humans", which gives you a great framework for this next phase of testing.

Also see “UX for Lean Startups” by Laura Klein – despite the name, this book provides a really great overview of a variety of research techniques that we in the industry have been using for 25 years – adapted for the startup scenario.