Fly Fishing For You

First of all, I would suggest something a little better than Wal-Mart would be selling. Be ready to spend at least $100 for a beginner fly fishing rig. Of course there are cheaper rigs than that but you really do get what you pay for. Then again you can also spend up to $1500 on a fly rig too so you have to find whats in your price range. You will also need some other items as well. A fly box and a fly selection for whatever species you are targeting. If your new rig doesn't come with fly line or backng you will need to pick those up too. A leader and some tippet material.
Check these rigs out if just for a guide as to what you might be looking for.

http://www.kmdtackle.com/redington-crosswater-fly-fishing-outfit.html

http://www.kmdtackle.com/scientific-angler-bass-fly-fishing-outfit.html

Glad to see another Fly Angler in the making! Good Luck!!
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I would skip Walmart. There stuff is very low end.

Instead, check out the complete kits available from places like Bass Pro and Cabellas. You’ll get a balanced outfit consisting of rod, reel, line, and sometimes a few flies to get you started. And an instructional book or vidio.

Such outfits run from about $110 to 150.

I would go with a 6-weight outfit, as it’s the most versitile.

Once you’ve decided whether flyfishing is for you, you can acquire other gear such as a fishing vest, waders, and accessories.

Keep in mind that flyfishing is basically different than all other kinds, in that a heavy line pulls a light (literally featherlight) lure, instead of a heavy weight pulling a light line. Take your time learning how to cast, and don’t get frustrated. It’s the best of all ways to fish.
References :
http://www.the-outdoor-sports-advisor.com/fly-fishing-basics-introduction.html

Kevin and Brook gave you some good advice about where to get a decent outfit, definitely avoid Wally-World for your fishing needs.

The only thing that I would add is to pick up a good book that will
help you with fundamentals such as tieing knots, casting basics,
explanation of gear, and a primer on may/caddis/stonefly lifecycles.

Fly Fishing: Learn from a Master by Bill Mason is an excellent book in this regard and is available just about everywhere.

Tight Lines and good luck with your new hobby

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Look into attending a local fly fishing club meeting. Chances are you could get to try equipment initially before buying to determine what feels right to you within a budget. Also club members are always willing to help out a beginner.
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The two MOST important things you need are the rod and the line, reels don't matter so much, when your just starting out. A quality rod and line are the key factors, i think even he fly line is what you should be concentrating on the most- after all that's what is carrying out your fly! You should be looking for a medium to fast action rod, but not fast action when you're just starting out! The sage launch is the rod i would recommend, although they aren't that cheap, it will last you a life time, plus it will make the experience MUCH better than a wal mart special, plus it will still be a fine rod to use when you get a little better. You must also decide what you will be fishing, lakes, rivers etc. Most beginners will start out with lakes as its generally easier to catch fish that way! A 6 wt rod is a good option as it will suit lakes and larger rivers. A 7wt is a good for big lake trout and bigger rivers, ive landed salmon and steelies on a 7wt, for the fun, but i dnt recommend it if you're just starting out.

These combos are pretty good considering the price, you might want to look into them
http://www.cabelas.com/cabelas/en/templates/pod/horizontal-pod.jsp?_DARGS=/cabelas/en/common/catalog/pod-link.jsp_A&_DAV=MainCatcat20431-cat600591_TGP&rid=&indexId=cat600591&navAction=push&masterpathid=&navCount=1&parentType=index&parentId=cat600591&id=0029862

This is a great website for information, dont let the name stop you it is fly fishing
http://www.sexyloops.com/beginners/index.shtml

This is also a great website for information.
http://www.hooked-on-flies.com/index.htm

This website also has lots of info and links
http://www.freewebs.com/troutandsea/
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