I assume you are looking at something like
this (it is really helpful if you are asking advice on something to post a link to what you are talking about

).
In the case of the linked to product above, you would need:
+ An air hose to connect your airbrush to the air source (and also possibly an adaptor)
+ An air source (either air cans, which are pants, or a compressor, which is better, or a compressor and air tank, which is the best).
+ Probably a moisture trap
Have a look at something like
this - has everything mentioned above, plus two airbrushes (though the needle sizes are slightly larger at 0.3 and 0.35, but for cheap airbrushes they will probably be fine to start out on anyway).
That was just the first one on the list, so you can probably get cheaper ones elsewhere, as well as not from ebay