Step 1: Get yourself an Arduino
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.