What to do if your family comes from parts of the world where online genealogical research is not so readily available? For instance, my family is from the twin island country of Trinidad & Tobago. There isn't a plethora of genealogical documents available online for Trinidad. So where to begin? Message boards are your friend. The best way to begin is to take the information that you have collected from your family members and start searching genealogy message boards. If you can find distant relatives, you can piece together your part of the jungle with theirs. Two good places to start are:
Ancestry Message Boards
Not only should you search these boards, but post your own messages. You may get a response right away or you may get a response in a few years from now. I have had a lot of success finding family members by piecing together bits of information.
The other thing that you have to be willing to do is write letters. Some places might not have documents online, but you can find information if you write a letter requesting information. For instance, my family line goes from Trinidad to Madeira, Portugal. One of my distant cousins (who I met on a message board!) has written to the Regional Archives of Madeira and gotten some information that helped him make the leap from Trinidad to Madeira.
Every year, more information is becoming available online. So even if you searched a particular website for information and you don't find something, come back and check again. You might find something eventually. A few years ago, there was not a lot available from Madeira, and now the Archive website has some databases that are accessible to the public.
If you still have relatives back in the "home country", try to get them involved by sending them photos with little stories about your ancestry. If they are interested, you can collaborate with them and they can help by doing some old fashioned research by looking through civil and religious records for more information.
The best advice I can give to anyone researching genealogy in more uncommon parts of the world is: never give up! Just when you think there is no hope and you are stuck at a dead end, the dam breaks and you add another piece of the puzzle!