Don't worry about the liquidity in ES, it's way more than you'll need for now. You can easily dump a couple hundred contracts during the normal trading day with no measurable price problems. And, 200 contracts is 10,000 times the S&P. NQ is less liquid, but way more than you need with a 5k account. I don't trade them much anymore, but I think one would have no troubles with a 20 contract position. EDIT: One would be wise to take Nitro's advice (above) and first trade the SPYs and QQQs.
I agree with nitro. Trade the SPY's and/or QQQ's first. Make money there then jump to the futures. Also, this will give you a chance to get comfortable with your trading techniques and software.