I’m a blacksmith/bladesmith and would love to point you in the right direction! What to do when you start largely depends on what you want to do with the skills. There is a relatively significant difference between going towards blacksmithing vice blades, although there is of course a large amount of crossover between the two. Without a little more focus on what you want to do (or if you want to do it all!), it’s a little difficult to say what would be a good starting project.
However, I would recommend to anyone getting into smithing to go to the hardware store and get a bar of 3/8~1/2 inch round stock and forge it to square, then back to round, then back to square, etc. Learning hammer control on something easy to forge like mild steel (usually A32 off the shelf) will help you immensely down the road. Concentrate on keeping the bar straight and free of twists, the corners sharp (for square) and the rounds plannished smooth. When going from square to round, start by forging on the corners to make a nice octagon, and then blend the eight corners to round. Not the most exciting thing, but well worth the time and effort, especially when the stock isn’t going to be part of another project where the errors of learning would otherwise detract from the finished piece.
For a forge, you can go either gas or solid fuel, and either will work depending on what you are trying to do. The easiest possible thing you can do is dig a hole in the ground and fill it with hardwood lump charcoal. Use a hair dryer or an air mattress blower attached to a pipe for your air supply, and you’re in business.
Hopes this helps a little, and if you have any questions, I’d be happy to answer!