Where should I get started if I want to read some of Cable's history (pre-Messiah Complex)?

The listed story arcs of a character here is a good guide (X-Cutioners Song is essential Cable BTW). To start you off I would personally say begin with Askani' Son. There's prior history of Cable being younger, but not as essential to knowing the character as it is to other characters involved, whereas Askani' Son handles Cable himself and where he began becoming the man he would be. Obviously read the actual volumes of Cable in chronological order (I've yet to meet the person who did this and was disappointed).

I would recommend the first 25 issues of X-FORCE volume 1(the first 100 issues are damn good but the first 25 are the best in my opinion), the 2 part Cable mini from 1991 or 1992 and then the entire 1st volume of the Cable Ongoing. Some really awesome stories in there, unfortunately a lot of it isn't collected, so you'll have to get the single issues, but you can snag them off of ebay pretty cheap nowadays. You can realistically win a bunch of lots that gets a good portion of the issues in your hands for less than 50 cents each including shipping. He is one of my favorite characters and I really love the first volume of Cable and X-FORCE, they are essential reads for any fan of the X books in my opinion. And if you can't find them, at least pick up the X-Cutioners Song Trade as suggested by The_Bride_Of_None_Spiders, that is a must read!!