I think that your rod and reel is a complete outfit with line, backing, and leader included. If you google "crystal river fly rod outfit" you should see examples with everything for around $30-40 or so. Don't know how the heck they do it at that price, but hopefully it's all in there.
If it is, and you want to give it a shot yourself rigging everything up, here's a site that will walk you thru all the knots:
Grog's Fishing Knots Index
Arbor knot- to attach backing to fly reel
Albright Knot- attaches other end of the backing to your fly line. Your fly line is hopefully tapered. The thinner section is the rear and gets tied to the backing. The thicker end is the front, and will help load the rod during casting.
Nail Knot or Albright Knot- to attach the thick end of the leader to the front of your fly line.
Surgeon's Knot or Blood Knot- you'll want to learn one of these, because you'll want to add short sections of "tippet" to your leader (otherwise, as you change flies your tapered leader will get shorter and shorter and thicker and thicker.) This stuff probably isn't included, so don't worry about it for now.
Improved Clinch Knot- for attaching flies to the end of your leader (or tippet)
There are some good books out there for beginners. LL Bean, Orvis and the Dummy's books are all pretty good so any one of those might be good to get for reference and some of the basics. Another resource with a good intro to the basics is Fly Anglers OnLine, Your Complete Internet Flyfishing Resource.
They have a whole beginner's section for getting started.
If you're on dial up, it will be slow, but google "you tube fast takes fly casting part one" for a good 3 part intro to fly casting. Once you get your stuff and rig it up, tie a bit of yarn (instead of a fly) and have at it on some grass. Being able to cast far is cool and all, but if you can throw 20-30 feet of fly line you can catch fish.
There's a lot of mumbo jumbo and the casting part can be a bit frustrating at first, but stick with it. If you can find some one to give you a lesson, or track down a local chapter of trout unlimited you'll get off to a good start and you'll really jump start the learning curve. Chances are, if there's water anywhere near you, there are folks throwing flies.
Keep posting and throw out questions as they come up... there a lot of helpful folks on the board. If you really do run into a jam with the rigging, send me a PM and I'll send you my addy if you want me to rig it for you.
best of luck!
PS Here's a link to some fly fishing folks near you: Fishing Ruidoso New Mexico Cabins and RV*Campground