Where to start: THINK!
Answer the W questions:
WHAT do I want to forge?
WHERE can I forge?
WHY do I want to forge? (Note that this one may change as you get more experience. Someone who starts out doing ornamental pieces may find themselves captivated by bladesmithing, and vice-versa.)
WHO can help me learn how to forge? (You're already here, so that's a good first step. However, nothing beats in-person instruction.)
Then think about the four things you will need that start with H:
Something to HEAT the metal.
Something to HOLD the metal.
Something to HIT the metal ON.
Something to HIT the metal WITH.
Everything flows from these questions, especially if you take the time to ask yourself: What do I not know or have NOW that I need to know in order to take the very next step? By focusing on what's right in front of you and the very next thing you need to do, you won't get ahead of yourself too much.
(Also, a much-neglected aspect of starting out is proper tongs. People focus on hammers, anvils, and forges, and never give nearly enough thought to what happens when you hit an insecurely held piece of glowing metal. If you have some cash, invest in some good basic tongs. You will NOT regret it.)