Begin by reading up on the
Grow FAQ.
You'll want to take a few key points into consideration before beginning...
Space: Where are you going to grow? How secure is your area? Think of not only friends and family being around the space, but also any repair men or UPS/FedEx people that might get a whiff when they approach your home...
Medium: Soil, Hydro? How are you going to set up your space? What supplies do you need?
HTG Supply has always been a fairly prices outlet for the average grower.
Lighting: HID lighting is preferable for almost any grower, but you can use the cheaper CFLs or fluorescent lighting; whichever better suits your budget.
Food: Whether you use soil or hydro, your nutrients will be an important part. Do some reading here...
Ventilation: If smell or heat is an issue, then this is a biggie. You'll want to build a carbon filter or do some form of home-made odor control. Venting the area is also great for keeping the heat down.
I hope that helps a bit... Like I said, do some reading through the FAQ and search this site for what you need to see. There's a well of information here if you're willing to take the time to learn.
Good luck.