For your first brew, get a kit. The Brewer's Best kits are a decent place to start that your local homebrew shop probably stocks. I'd stay away from the Moutons and Coopers kits. Some of the larger homebrew shops will put together their own extract kits. If you have the time, the best kits you can buy come from Austin Homebrew, Northern Brewer, Midwest Supplies, and Brewmaster's Warehouse online. You really can't go wrong with almost anything from any of those online shops, and they typically have several reviews of each kit as well to see what others who have actually brewed the kits think. They also have really good detailed instructions.
Also, FYI, when I was an extract brewer, I found liquid malt extract to be much much easier to work with than dry malt extract. DME is the stickiest substance known to man, and gets all over the place no matter how careful you are.
Good luck!