Here's a photo of my first AG set up!
The larger pot is a turkey fryer pot, and the one one the left is my old canning pot. I used the canning pot to heat sparge water. Not fancy, but it worked!
You can start as ghetto as I did, or start with a better/bigger pot or have a burner outside. But one crucial item is a good thermometer- it should be accurate even if cheap. You can get a decent one for under $20.
I ordered grains (crushed) from northernbrewer.com, and from austinhomebrew.com and I got about 65% efficiency with both. From brewmasterswarehouse.com, I got about 72%.