1. Go to a lounge and try it out.
2. Research the various brands of shisha, coals, bowls, and hookahs.
If you see a hookah out there that looks interesting to you chances are there is a review or two on it here. Same with shisha and coals. There are a ridiculous number of review posts on this forum that will serve you well to get started.
3. Watch the many many wonderful submitted youtube videos on How-To pack a bowl, prepare your hookah, etc.
A well prepared Hookah isn't something you just throw together, and these will show you the best methods to get the job done.(Please don't take that as meaning you shouldn't experiment with your own methods, everyone ends up doing things slightly their own way that serves them best.) I say to look at these videos before you buy because you might decide(although i highly doubt it) that the effort involved isn't worth it(it is). Just want you to be aware of what you are getting in to.
4. Check out the vendor reviews section. Go to a bunch of different vendors linked there, and then figure out which one has the stuff you want at a rate you can afford.
5. Buy a hookah, some coals, an assortment of 50gram packs of shisha(i would recomend from several different brands that way you learn a little about the different cuts). When you're just starting it's probably best not to go buying a super nice bowl, the standard bowls that come with hookahs usually work just fine.
6. Try out your new hookah. Experiment. Have fun. For me part of the enjoyment of the hookah comes from getting everything set up just right, exactly the way you want it.
7. Go to hookahpro.com and post in the review sections your experiences with everything you've tried. If you have questions that weren't answered by your previous research then ask them(use the search button on the top of the page first, almost every question has been asked before).
8. Send a PM to Sambooka thanking him for starting up this great site to answer all your questions and open up the world of hookah to you