Here are some sites I was given by Quirky. They have a ton of info on what you need, how to get started, all kindsa stuff. Hope that helps.
There is lots of good info out there.
You might look for a yarn / fiber shop in your area. Many carry handspindles and roving.
Ebay also has a lot of good spindles and roving. But do an internet search for both to get a good feel for pricing and such before you buy on ebay. Ebay can be pricey! I once saw a spinning book on ebay listed as $20.00 - it was the same book that can be bought on Amazon for $5.95 Shocked
For virtual lessons try -
http://www.icanspin.com (its the knitting help site of the spinning world - lots of videos)
It also has great videos and lots of info.
Also there are a bunch of helpful folk at:
Good luck and dont give up - spinning is fun, but it does take practice and patience over the learning curve!