Joliffe,
I started about 2 months ago and this is what I did:
Bought a used $10 set of Irons a $5 3 Wood , a $10 driver, and a $2 putter.
I went to the range with a buddy to see if I actually liked golf and build some sort of swing. At least to just make contact with the ball.
I ended up taking a lesson from a pro for $50. That helped big time since he set up my stance, grip, swing and got me to where I hit the ball more than 5 feet. :) I had a horrible slice but still.
Shortly after that I purchased a set of Adams Idea G2's Irons, 3 & 4 Hybrids along with a 56dg sand wedge from Rockbottom golf for $150. HUGE DIFFERENCE from the $10 Wilsons.
I have gone to the range at least times a week to work on different aspects and have been reading every magazine, book (Golf for Dummies, and 5 lessons of Golf by Ben Hogan).
I can now hit decently straight with 7 out of 10 shots without a slice and I feel a lot better with the grip/swing piece.
Definitely get a lesson or two, get familiar with the game, the lingo, and learn to blame your equipment for all your problems. Don't try kill the ball when you hit and most importantly don't get discouraged, it takes time but it will come to you soon enough.
Sorry for blabbering a bit there. :)