I soooooooooooo *heart* triathlons. Do one and you'll be hooked. I'd say try finding a shorter sprint tri in your area. Something like 1/8 - 1/4 mi swim, 8-20 mi bike, and >= 5k run.
Swimming: You can do most of your training in a pool. Don't let your first open water swim be in the triathlon. It is very different than swimming in a pool. Find a pond, lake, whatever. Pick a race, and go to the race location to practice swimming. Look for a tri club in your area and they might sponsor group swims in open water.
Bike: You can do a sprint tri on a mountain bike. If you like it, then you can invest some money in a road bike or tri bike. I found mine on Craigslist and got a good deal. I had to look around for a few months, but got a great deal. Spinning classes are GREAT during the winter months. Go to bike shops and bug the guys there to learn everything you can about your bike. I've found they are all pretty friendly folk!
Run: I recommend the
Couch to 5k program to EVERYONE. I have a broken foot right now so can't run. Once my Dr clears me, I am going to use this to get back into it. Don't go out too fast right away - you'll burn out. I like wearing a heart rate monitor to make sure I'm not burning out.
Heart Monitor Training for the Compleat Idiot is a great book.
And last of all, HAVE FUN!