You can order anything you want online direct from the US GW probably. But I would try Ebay/Amazon for stuff its way cheaper and (at least in the UK) you can get everything you need at less than the small fortune and mortgage of your soul you would pay to get it from GW. Only advice I would give is stay away from "painted" minis if you buy 2nd hand. Folk say "pro painted" and you get a 5 year olds base coat splurge.
Also the comments above about Sable brushes and GW's brushes is so spot on its not funny. In the distant past GW even produced sable brushes themselves (again for at least the price of a kidney) and they were poop compared to "proper" brush manufacturers ones. On the other hand although the pots are a wastefull design (and also have a habit of drying) I like the GW paints and would always use them first.
Finally the way to get into the game is to get your friends hooked aswell. Your mates like the same things you do in general then there is a chance they will get into 40K as well. Subtley ask around your school/college/workplace whilst your convincing your buds I dare say you will find others that play, its just most people dont talk about it in public...we should have like a secret GW table top wargammer hand shake or something but I digress...

Doh I forgot the most important bit of advice. Cant belive I overlooed it. You will have heard similar before but I really cant understate how important this cliche is. Right you ready?
Winning isnt important its the taking part thats fun.
Now I know it sounds totally lame but the way the scoring works in 40K you can totally blow seven shades of bestial brown out of your oponent and they can still win because they have just over 2/3's of a guardian squad standing on an objective and their downed Fire Prisim just got off a lucky final turn of shooting and routed your infantry platoon standing on your objective...You will encounter in your gameing though people that must always win, or people that will use "cheesy" win win set ups or rules or whatever. Dont get disheartened.
...and another thing. Yeah I know im rambling now, soz...
http://www.40konline.com is the best place on the web for table top info and tactics and shiznit.