Racer and Peter T, I think you're both right. Racer is right because a fledgling musician needs some immediate gratification, or he/she will probably give up pretty quickly ("I wanted to learn to play because I like music, but this seems more like accounting!"). Peter T is right because a little structural knowledge goes a long way, and gives you a foundation to that allows your learning to progress.
But I think you need to have an ear to put the abstract structural stuff ("what's I-IV-V?") in context. If you learn a few simple folk songs first, then your teacher can say "let me show you what these three songs have in common...". Suddenly I-IV-V makes sense, and you're off and running. You can get both the immediate gratification and the beginnings of theory in your first month or so of learning your instrument, so you needn't worry about falling too far behind in the theory department.
It's like learning any other language. We learn to speak before we learn to read and write, and that comes before we learn the rules of grammar. As long as you don't try to get too far on speech alone, you should be able to go as far as you want with your chosen language.
However, there are exceptions even to this, because a lot of people are able to put this stuff together intuitively. I remember reading an interview with Peter Townshend once, during which he demonstrated this principle by crumpling a piece of paper and tossing it across the room into a wastebasket. He told the interviewer that, at some intuitive level, he had calculated the lift needed to overcome gravity, the force needed to move the ball of paper across the room, the arc needed to drop it into the wastebasket, the amount of wind resistance it was likely to encounter, and several other physical properties. He confessed that he didn't have the education needed to truly quantify any of these parameters, but somehow he had managed to calculate them sufficiently that the paper actually went into the wastebasket. This sounds kind of silly, I know, but think about it -- we all do this stuff, whether we're trained in it or not. And there are lots of musicians out there who play brilliantly but know next to nothing about theory.
I'd be interested in others' views of this. Another thread, perhaps?