First, I'd spend a week or so and read Palmer's book (the sections on all grain) to get a better understanding of the process. The quick synopsis above is a really good start. It doesn't realy address sparging, which is a process of rinsing the grains to get more sugars out.
Now, on to equipment. There are a number of options with the two primary being BIAB or a more traditional multi vessel system. There are hybrids and other more advanced approaches such as HERMS and RIMS, but I won't go into those right now. Let's look at the two "entry level" approaches:
BIAB (Brew In A Bag). This approach is described and advocated above. It's mentioned that you can do this with a 5 gallon pot above. That's only if you're doing really small batches or doing some sort of sparge. I have a 10 gallon pot and that's not big enough to do a pure BIAB version of any of the beers I've brewed (6% ABV and higher). You can't fit 7-8 gallons of water plus 12 lbs of grain in a 5 gallon pot. I wouldn't go into true BIAB with anything less than a 15 gallon pot. People have found many different approaches to maintaining temps: wrap a sleeping bag around the kettle, reflective insulation, heat and recirculation, etc.
The pros for BIAB are less equipment, a simpler process, and an easier path to higher efficiency (how well you extract sugars from the grains). To get the higher efficiency, you'll likely need to have your own mill so that you can mill the grains finer. The disadvantages are: you need a bigger pot and hassles maintaining stable mash temps.
Traditional mulit-vessel: With this system, you mash in one vessel, drain the liquid (wort) out to a kettle, add more water to rinse and drain to the kettle (called sparging and there are multiple ways to do that). The entry level way to do this is to use a cooler for a mash tun combined with a method to filter the grains from the wort. The brew shops usually sell the round beverage coolers equipped with false bottoms as mash tuns. That's the more expensive route. You can do a rectangular cooler, which is much cheaper, and use either a manifold system, bazooka tube or.....the hybrid approach....a bag. The pros of the multi-vessel system are that it's easier to maintain mash temp (a cooler will hold within a degree over an hour), it's a more traditional approach that more closely matches what a commercial brewery does (if that matters to you), and you don't need a huge pot. (I personally don't like boiling in an oversized pot as it boils off more liquid). The cons are that there's more gear to store, it can cost more to get the stuff, and it can take some effort to get decent efficiency.
I started out with a rectangular cooler and a bazooka tube. My efficiency was running about 60%, but it was consistent. The beer was outstanding. I wanted to brew some really big stouts and, since efficiency drops as the grain bills go up, I knew that my relatively low efficiency would be a problem. I bought a custom BIAB bag that fits the cooler and set up the drain so that I get all but about 4 oz to drain from the cooler. I mill my grains finer and I'm getting low 70's efficiency. My big stout brew session is planned for January. I'm really liking this system.
A really good way to get more info is to see if there's a local homebrew club to join. Then ask around to see if you can watch/help brewing with both styles.
Good Luck
