Get lessons. If you want to try and teach yourself Hank Haney has a good book on the swing. Also, do not neglect the short game.
You do not need expensive clubs, but a set of used older Burner's, Callaway Big Bertha's, Ping G5's etc. will be better than cheap new clubs. Do not just grab whatever club you find cheap as you may end up with a blade that is extremely difficult to hit. Or a club poorly constructed.
Good luck.
This.
When I started out I went with the "buy a cheap set" advice. I bought a complete set of Golden Bear clubs for $300. Not only were they poorly constructed, but they were at least 3 inches too short for me. They were quite frankly unusable - I was lucky if I ever made solid contact with the ball and more often than not "topped" it because I couldn't maintain that bent over at the waist position to use the club and would stand up in the middle of my swing. Quite frankly, the Callaway Big Bertha 460cc driver was the best club in my bag for the simple reason it was the one club that didn't belong to that Golden Bear set, but usually I was too frustrated and/or my back was way too sore from using those crappy irons that I couldn't even use that well.
Then two summers ago I bought a set of TaylorMade Tour Burners that were on the market for several years and thus were priced under $400. Made all the difference in the world. I'm not saying I'm this great golfer all of a sudden, because I'm not, and I could certainly benefit from some lessons (especially with my short game). I'm just saying I can at least hit with my irons now. And I really can't wait until I finally get pull the final two Golden Bear clubs (my 3 and 5 woods) from my bag with a pair of TaylorMade RocketBallz 3W and 5W this month. I'll also be replacing that Callaway Big Bertha with an RBZ driver. I'll actually be sad to pull that club, as it was the best in my bag for so long, but I've had that club for longer than I've been married and it's just time.
So yeah, you can go the route of just going to Wal-Mart or a discount sporting goods store and buying a cheap off brand set, and it may very well serve you well until you decide that you want to sink more money into your game. But you also run the risk of running into my situation where you buy absolute crap clubs and end up hating the game when in reality the crap equipment you bought is contributing to your poor play.
My advice would be to go to a golf specialty store and have them help you put together a used set of clubs for probably slightly more money than what could end up being a crap beginner's set. Alternatively, if you have a little bit more money to spend, you can have them help you put together a set of new, late-model clubs for around $800 ($350 for 3-9+PW irons, 3W and 5W for $100 a piece, driver for $150, putter for $50, and bag for $50).