Hello jazzgaming I'd like to welcome you to the site!
To answer your question you have two options, you can buy D&D essentials or you can buy D&D core rule books.
Core rule books
The core rule books are what I'm familiar with so I will detail them first.
There is the Dungeon Masters Gude, the Players Handbook, and The Monster Manual.
For miniatures you can buy some on eBay although they can be quite pricy, or you can make your own using cardboard cutouts or other various methods that can be found online.
The Dungeon Masters Guide tells you everything you need to know about running the game, making adventures, building encounters, building NPCs (non-Player characters),and handing out rewards. At the back of this book is a start out adventure along with a very basic campaign setting and a pre made town.
The Players Handbook gives the other players everything they need to build and equip their characters. It has a copy of the 4th edition character sheet in the back of the book too.
The Monster Manual gives you the DM (Dungeon master) all kinds of creatures for you to use in your adventures. The monster manual also contains encounter groups which are groups of monsters that work well together.
With this you will also need a set of Dice available here,that should be plenty of dice for your whole group.
I also recommend a vinyl battlegrid available here
Total estimated cost = $110+shipping+pencils+graphpaper+miniatures
Depending on whether you buy or make miniatures will alter your total investment cost.Now for the D&D essentials line.
There are a few more products to buy in this path, but supposedly it is more balanced I personally have very little experience with them and I advise you read the reviews on amazon.
**The Rules Compendium this basically details all of the rules for combat, character advancement, rewards etc.
Heroes of The Fallen Lands this book gives you rules detailing the cleric,fighter,ranger,rogue, and wizard classes it also gives you information on the some of the races in the game.
Heroes of The Forgotten Kingdoms this book adds the Druid,paladin,ranger
,and warlock classes. It also add more races to pick from.
Then there is the Dungeon Master's kit which gives you a dungeon masters screen to hide all your secret rolls and a book giving you a lot of info on the most wonderful art of being a dungeon master.
And finally there is the Monster Vualt which is essentially the Monster Manual in a box (although it may contain different creatures) it also come with tokens to use for monsters and it contains a premade adventure.
Those books give you everything you'll need to play. I don't have experience with them so I can't say much about them other then they confused the hell out of me when I built my character for D&D encounters. Total cost of those books on amazon is $93.Note that those books are all paper back and two of them are boxes.
I personally reccomend the core rulebooks because they are easy to read and everything is pretty well organized.
Then of coarse there is always the option of D&D next which is essentially 5th edition it is in playtest form ATM but It is available for FREE Here all you have to do is sign up, download the zip file and print out the files and get a set of dice, pencils, etc, this can be played with or without miniatures.
To answer the second part of your question, I think you should spend your first session creating characters and going over house rules etc.
After that first session of character creation, it is up to you the Dungeon Master to come up with an adventure, if you go with the core rule books there is a simple, easy to run adventure called kobold hall in the back of the book, you can choose to run that one or make your own. If you choose to create an adventure, the first thing to do is to read the DM guide read the chapter called Adventures and the other one called campaigns, then I suggest you read chapter 11 (I think) titled Fallcrest this is the chapter giving you a sample basic campaign setting. This should help you get an idea of what exactly an adventure is, after you have a basic quest in mind, you should begin thinking about where the bad guys are, then who they are. After you have determined those two things I advise you draw a dungeon on graph paper each square is 5', then you add monsters, terrain, and traps and bam you have your first adventure, keep it simple!
Just have fun and try to stay calm being DM can be extremely stressful if it's not done properly.
All in all I find playing D&D with friends to be immense fun, I wish you the best of luck.