Mathematical expectations are a concept from probability theory. Expressions like $E_x[...]$ denote conditional expectations and I think you will have trouble understanding Machine Learning concepts without understanding conditional expectations. (Understanding them as a mathematical concept, not on an intuitive level).
My recommendation is that you look for a beginner's course in probability theory to get a grasp of the following concepts:
- Random variables
- Probability distributions
- Stochastic independence
- Mathematical expectation
- Conditional expectation/conditional probability
- Law of total probability
- Bayes' theorem
There are probably courses designed specifically for people interested in Machine Learning.
Have fun!