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I would recommend going to a local golf shop and swing a few sets of clubs. Get them to find you something that fits your swing, then go online and find them used.
If you are REALLY on a budget, you can just pick up a yardsale set and go have some fun. Don't think for a second that you NEED to go out and spend $400 on a driver, $700 on irons, and $150 on a putter. I am using Ben Hogan Edge irons from the late 80's...love em! Picked them up for $30.