I'd like to offer another way to go about this (especially since you already know what you want to do for a first project). Go to a store and check out their yarn department. Find some yarn that is light colored, smooth, and worsted weight (as others have pointed out, it is rated 4 on the package--a code meaning "worsted weight" yarn). Then look on the yarn package and find the needle size recommended for that yarn (most likely a size 8). You can either stick with the recommended size needles or go up a size or two--for a scarf, it's not usually a big deal how loose your stitches are.
Buy the needles and your yarn and get started. I would recommend doing several projects using just one or two sizes of needles. As others here have recommended, buying lots of inexpensive needles up front can be a waste of money 'cause if you really enjoy knitting, you'll eventually want to invest in some high-dollar/quality tools to make your hobby even more enjoyable. And with knitting, it takes a while to figure out exactly which needles are perfect for you!