While your best bet is a fly shop, you are probably going to spend a bit more. You might want to get a decent starter set up from a sporting goods store as a first rig just to find out if you are going to enjoy fly fishing. You have to be kinda careful in getting a starter set up. Some of them are garbage(Martin, Eagle claw) and some are pretty good{Reddington, TFO, Ross). My very first fly rod was a Martin combo starter set with flies, forceps, etc and i quickly found out that it was useless to me. I then went and got a Reddington Red.fly2 and really liked it. The rod is great. It is a 6wt and might be a bit on the heavy side for most trout fishing but it was great to learn on. I now have 4 different fly rods....
Also, find someone to teach you the proper mechanics of the cast. You will have more success and less frustration learning to fly fish.