Step 1: Get yourself an Arduino
Here is a link to the board: ArduinoBoard.
Here is a link to the cable: USB Cable.
Shopping online is fun, and it gets better when your toys come in the mail.
Step 2: Where does the cable go? Here is the A side and its home
Step 3: And here is the B side of the cable
Step 4: Powering your board
Step 5: External power using a wall wart
Step 6: You can add the optional prototype board
This prototype board is by no means necessary but it does add utility to your Arduino. You can get a prototype shield here: Protoshield. You can get the prototyping breadboard to mount to it here: Breadboard.