Welcome to the board!
Another good site for info is Fly Anglers OnLine, Your Complete Internet Flyfishing Resource.
. It has a great beginner's section entitled "flyfishing basics".
I'm not to far from being a newbie myself, so I won't try to give you a lot of technical information. There are people who are much more knowedgeable on the board than I am. What I will do is summarize the mountain of advice given to beginners. I've necessarily read a lot of it recently.
I'll say it very simply, then explain. Floating, weightforward line in a size that matches the rod.
It's very important to match the line weight to the rod weight (it should be written on the rod). What is the weight of the fly rod?
As far as line type, virtually every piece of beginner's advice I've seen suggests a floating line as an initial set-up. It is indeed coated and is considerably thicker than a piece of monofilament. You can get sinking lines, or sink-tip lines, but they are for getting the fly down. They are something people tend to graduate to as they learn/get more into flyfishing (if you're like the rest us, you'll be an addict in no time
). A floating line will handle the bulk of your fishing situations. If you're going after bass, bluegills, trout, etc. that's what I'd get.
Most beginner's advice suggests a weight forward design. That is simply a way of saying the taper of the fly line is such that it places a greater percentage of the line's mass toward the business end. It is easier to cast, and that is good for beginners. Once a while some book or article will suggest starting with a double taper for a beginner, but they are in a small minority. I fish bass, bluegills, crappies, and an occassional trout. Floating, weight forward has been just fine.
If you have a flyshop nearby, this is the place to go. They can explain it to you and show you how to get everything tied together (knots are very important in flyfishing). Frank's suggestion to get a book is a good one. I'd add this: be sure it has a good section on knots. When I started flyfishing a couple of years ago, it was easy to forget how to tie a particular knot. With a book, you can take that information streamside. That's a plus over websites.
A few leaders are also important to have, but people will need to know more about the type of fish you are trying to catch.