The stock indexes will probably be more volatile and will require more capital to trade than shares. For example, the minimum bet per point on the FTSE is normally £1 (although some brokers require £2) and the index regularly moves 50+ points in a day. But many shares such as Vodafone normally move less than 10 points a day.
Plus, when you're staring out make sure your keep your bets as small as possible for the first few months. The markets will always be there so don't make the mistake that many make and jump in at the deep end. Do this and you're odds on to lose a significant proportion of your account.