For an introduction, have a look at James Alexander-Sinclair's blog on bonsai:
You'll need to choose a suitable tree to grow. Popular trees to bonsai include Japanese cedar, Japanese black pine, Scots pine, crab apples and the elm parviflora. I would recommend that you get hold of one that's easy to find, like a Scots pine or crab apple. To keep it small, you need to trim the roots and branches. I gather that this is usually done as little as annually. However, do always look for and treat pests, feed and keep your tree well-watered. Having small roots it will not cope well with drought. Although they look like house plants, bonsais grown from outdoor species are best kept in the outdoor conditions they usually thrive in.
I've had a look at the websites of the big garden centre chains and at what's available via the internet and found plenty of starting kits to buy. Have a look at these: http://bit.ly/wMjZ03 See if you can find a bonsai collection at your local botanical garden. You should be able to get some advice there too.
It's great to hear that you're so enthusiastic about growing plants. Good luck and please tell us how you're getting on. And any experts out there - I hope you'll give us your advice!