This will be a very informative video for you:
http://www.youtube.com/watch?feature=player_profilepage&v=6NxHXwOWn94
Don't just jump to a crappy
AB, get a good 1 to start. No point in wasting money for a beginner brush, ya know? I just picked up a Badger 105 Patriot off Amazon, after wasting my time with a crappy siphon-feed
AB.
Also, a lot of people seem biased towards 1 brand or another. Try to look at the reviews of anything you may be interested in, check the price of parts, if there's a warranty, etc.
At the same time, invest in an air compressor WITH A TANK, and preferably with a built in pressure regulator (no regulator? Get 1). This could be a little 1 gallon pancake compressor from Sears if you want (Mine was $55 from Walmart). Some people suggest larger, but it depends on how often and how long you plan on using your brush. If you end up brushing a lot, investigate a moisture trap. Don't waste your time on canned air. You'll regret every aspect of the purchase.
Also check the reviews on any particular compressor you may be interested in. Oil or Oil-less? How loud is it? Have there been a lot of defects in that model? etc.
Keep a sharp eye, you don't want to invest your hard earned money into any piece of crap equipment that you'll end up throwing away later.
Brushes I've heard good things about:
Badger 105 Patriot
Paache Talon
Iwata
HP-C
I also suggest you check out this post:
http://www.dakkadakka.com/dakkaforum/posts/list/423144.page#3789537
Do a few searches here on Dakka about other people asking the same thing, and the advice they were given.
Good luck.