For the start, normal Citadel colours will work fine, later you might want Vallejo colors, which are far superior (but usually you have to order them on the www, while you can buy citadel colors in your store).
At first, you definitely need some spray to prime your models, either white or black spray, depending on the color that they later are supposed to have (white for bright models, black for darker ones). However, i meanwhile prefer to prime anything in white, because it's not hard to apply shades with inks on a white primer, and it works better for the main layers, but that's just my personal preferance.
Some colors that you'll need are black and white (eventually both as spray and "normal" paint), blood red, some green, boltgun metal, eventually gold and silver, blue, yellow. With these, you can mix most other colors that you need - so you can paint these without having bought it (which you later should do though, because it's quite hard to mix exactly the same color twice)
Don't get discouraged if things don't work that good at the start - everyone had difficulties, and painting a miniature requires experience, such as "what will happen if i paint this color over that one", "what is the worst thing that could happen if this technique doesn't work". I think we all ruined more than one model...that's inevitable.
jwu