First, decide which game you want to play. If you can think of it, there is probably a game for it. Don't restrict yourself to fantasy games if you're also interested in other genres. Also, don't restrict yourself to games that are currently in print if you have a strong attraction to a game universe that was covered by a game that is now out of print (I currently play an out of print game, the Conan Roleplaying game.)
You can also take a set of rules and let your imagination be the limit, but I'd wait on that until you're a little more comfortable with roleplaying.
There are a ton of fantasy games out there, from the gritty (Conan, Thieves World, The Black Company) to the not so gritty (D&D, Dragon Age, The Burning Wheel RPG).
Even within a game, there are sometimes a lot of universes to chose from. For example, D&D can be played generically, in the Forgotten Realms, in the World of Greyhawk, in Blackmoor, in Mystara, in Dark Sun, in Ravenloft, in Eberon, in Dragonlance, in Spelljammer, in Hollow World, in Planescape, in Kalamar, and the list goes on.
D&D has a lot of competitors, too, that use different dice rolling conventions.
Plus, D&D has a ton of versions, from Old D&D, to Basic D&D, to First Edition or 2nd Edition Advanced Dungeons & Dragons, to Third Edition or the 3.5 edition of D&D, to Fourth edition D&D (and the upcoming 5th edition). Plus, there are versions of D&D used in other, like, games. Conan is one of these, The Conan RPG is based on the 3.5 version of D&D. Others have mentioned Pathfinder, which is an iteration of D&D 3.5.
If you don't want to do fantasy, there are a ton of games in other genres like science fiction (Star Wars, Gamma World, Star Trek, Battlestar Galactica, Starship Troopers, Traveller, Hammer's Slammers, Blue Planet, Fading Suns, etc.) or espionage (Spy Craft, James Bond, Top Secret, etc) plus a ton of other genres.
So, the first thing you need to do is find a game you're interested in (and probably a version of that game--many RPGs have multiple versions), and once you do that, you should buy the Core Rulebooks. Sometimes this is one book (the Conan RPG has one core rulebook), and sometimes this is a few books (the core D&D books generally consist of the Player's Manual, the Dungeon Master's Guide, and the Monster Manual).
Next, you need to learn how to play. This comes with experience. You can talk to people here. There may be a different forum more appropriate for the game you pick. Know that, generally, the Core rulebooks will contain a chapter or two on playing the game. Read those sections carefully.
Then, ask questions.
Then, when you're ready...play the game!
You can also take a set of rules and let your imagination be the limit, but I'd wait on that until you're a little more comfortable with roleplaying.
There are a ton of fantasy games out there, from the gritty (Conan, Thieves World, The Black Company) to the not so gritty (D&D, Dragon Age, The Burning Wheel RPG).
Even within a game, there are sometimes a lot of universes to chose from. For example, D&D can be played generically, in the Forgotten Realms, in the World of Greyhawk, in Blackmoor, in Mystara, in Dark Sun, in Ravenloft, in Eberon, in Dragonlance, in Spelljammer, in Hollow World, in Planescape, in Kalamar, and the list goes on.
D&D has a lot of competitors, too, that use different dice rolling conventions.
Plus, D&D has a ton of versions, from Old D&D, to Basic D&D, to First Edition or 2nd Edition Advanced Dungeons & Dragons, to Third Edition or the 3.5 edition of D&D, to Fourth edition D&D (and the upcoming 5th edition). Plus, there are versions of D&D used in other, like, games. Conan is one of these, The Conan RPG is based on the 3.5 version of D&D. Others have mentioned Pathfinder, which is an iteration of D&D 3.5.
If you don't want to do fantasy, there are a ton of games in other genres like science fiction (Star Wars, Gamma World, Star Trek, Battlestar Galactica, Starship Troopers, Traveller, Hammer's Slammers, Blue Planet, Fading Suns, etc.) or espionage (Spy Craft, James Bond, Top Secret, etc) plus a ton of other genres.
So, the first thing you need to do is find a game you're interested in (and probably a version of that game--many RPGs have multiple versions), and once you do that, you should buy the Core Rulebooks. Sometimes this is one book (the Conan RPG has one core rulebook), and sometimes this is a few books (the core D&D books generally consist of the Player's Manual, the Dungeon Master's Guide, and the Monster Manual).
Next, you need to learn how to play. This comes with experience. You can talk to people here. There may be a different forum more appropriate for the game you pick. Know that, generally, the Core rulebooks will contain a chapter or two on playing the game. Read those sections carefully.
Then, ask questions.
Then, when you're ready...play the game!
