Don't worry about buying an entire set of golf clubs right away. If you're just starting out, all you really need are the 5, 6, or 7 irons, a driver, and a putter. You'll use a driver off of the tee for long distance shots, followed up by your irons, which give more control for shorter shots. And don't forget your putter—the putter is used on the green.
Next on your list should be golf balls and tees. Tees look like a round peg with a flat top, and are used to raise the ball off of the ground so you can get your club under it better. Put the tee into the ground and sit your golf ball on top of it. Make sure you have plenty of tees on hand—they sometimes break when you hit the ball. Don't get overwhelmed by the number of golf balls there are to choose from! You don't have to use an expensive ball because a lot of them will probably end up in the woods or water anyway.
Also, don't forget that some courses have a dress code. This means that they can ask you to wear certain types of clothing like shirts with collars and shorts or pants without holes in them! As a rule of thumb, keep your clothing simple. Dress in comfortable, loose fitting shirts, pants, or shorts. Sneakers are fine for beginners. And don't forget a hat and sunscreen! On those hot, sunny days, it's important to protect yourself from the sun.
Once you've got all of your gear, hit the links and have some fun!