Assuming you live near a place that has waves, the first step would be to find a surf school or surf instructor to take your first lesson with. Make sure to read reviews!

NOTE: Do not buy your own surfboard until you are more comfortable surfing. Different boards are used for different purposes, so figuring out your style and needs should be taken into consideration BEFORE you buy a board. There is no point in buying your own expensive surfboard when getting started when you can rent quality equipment for a fraction of the cost.