I'd stick with the books you have and take advantage of the free stuff from WotC. They have plenty of low level adventures to help you out. There are plenty of other adventures and tips on these boards as well as the WotC site as well. Take advantage of them.
Know the rules but you don't have to know them all. Have a strong/generalized understanding of the core rules and build from there. If you don't know a rule, either make a ruling on the fly, stating you look it up after the game, or take a moment and look it up then and there. Explain to your group (if they don't know already) that you are, in fact, new and bare with you.
Plan ahead. And what I mean is plan your general adventure, and over-arcing story(if you have one). Don't plan for every situation, because with players, you can't.
Remember, you're playing too, and it should be fun. If its not, think why it isn't.
Heres a link to the old Cliffhanger adventures that Wizards started publishing with 3.0. Start at the bottom one, Unearthing the Past and move up. Most of them are linked, but feel free to embellish your own unique flare to them.
http://wizards.com/default.asp?x=dnd/arch/ch
If you really want a set (uh) setting, go to the review sections and read about each of them. The core setting is Greyhawk. Its a good one, plus theres plenty of free content on Wizards with regards to it.
Ebberon is a great setting. Core rule book is awesome.
Forgotten Realms, a classic IMHO, and the price as well.
Other companies have great settings too.
Fantasy Flight games has Midnight a setting where evil has won and the players are working in shadows to win back their world.
Green Ronin has their generic setting(meant the best possible way) of Freeport(awesome setting btw).
Privateer Press has Iron Kingdoms. Steampunk meets Fantasy with a twist of horror. Great setting.
I know theres more. But remember. Pick something you enjoy. Don't be swayed by others. If you don't enjoy it chances are you won't run it.
Good luck and let us know how you do.