This question already has an answer here:
- Where can I find other RPG players? 14 answers
I need help finding d&d game sets. I also can't seem to find any players. What do I do?
Your question is sort of multifaceted, so I'll answer each aspect individually.
Materials for D&D
I'm not 100% sure what you mean by "game sets," as well as what you already have, so I'll just list the things you need to play D&D: rulebooks, dice, maps, miniatures, and probably an adventure.
Since your post is tagged D&D 4th Edition, I assume you already have some books for this edition and that you'll want to stick with it. If you are a player, all you really need is one of three books: the Player's Handbook, "Heroes of the Fallen Lands," or "Heroes of the Forgotten Kingdoms". If you want to run a game, you'll want the Dungeon Master's Guide or the Dungeon Master's Kit and a monster book (I recommend the Monster Vault as it is the most recently updated, but if you have the Monster Manual that should work fine). If you want to start a group of completely new players, the "Red Box" starter set is a self-contained introductory game that comes with everything you need to get started - rules, dice, an adventure, maps, and tokens to represent characters and monsters. Once you play a few sessions with it, however, you'll want to move on to the more expansive books. Figuring out what game books you need can be difficult, but this question explains it pretty well in more detail.
For character sheets, the Wizards of the Coast site has some downloadable ones here. If you have a player book, you should be able to photocopy the one in the back.
If you are running the game as a Dungeon Master, you may want to start off with a pre-prepared adventure (so you can focus on learning the rules and not worry about ). The Dungeon Master's Guide has a short dungeon adventure inside it, and there's a longer free adventure for download on the Wizards website (search for "Keep on the Shadowfell"). The Red Box also comes with an adventure geared toward newer players. That said, a lot of the fun of running a game is coming up with your own ideas for plots, so if you want to try that just follow the guidelines in your DM book, taking monsters from your monster book, and you will be all set!
More so than previous editions of the game, D&D 4e requires the players to use a map grid for tactical positioning in combat scenes. You can improvise with graph paper, but likely you'll want something with 1-inch squares sooner or later. The "Red Box," Dungeon Master's Kit, and Monster Vault all come with pre-made maps to go along with their adventures. If you want to draw your own maps, you can print out and tape together 1-inch grids, or you can buy something like Gaming Paper (basically thick wrapping paper with a map grid) or a Chessex Wet-Erase Battlemat.
Similarly, it is often helpful to have miniature figures to represent the characters and monsters in a tactical combat. You can improvise using dice/chess pieces/pencil marks to show positioning, but if you want something a little easier on the eyes you have a lot of options. There are 3-D figures you can buy in gaming stores or online (just search "Miniatures" or "D&D miniatures"), but those can be expensive. Paizo Publishing sells a "Bestiary Box" and "NPC Codex Box" that provide lots of good-looking cardboard "pawns," for monsters and player characters/non-player characters respectively. If you picked up the Red Box, Dungeon Master's Kit, or Monster Vault, each should have lots of nice circular tokens that represent the same thing.
Finding a D&D Group
To be honest, many experienced roleplayers have trouble with this. First off, try talking to family and friends who like board games or are interested in fantasy things like Lord of the Rings. You'd be surprised how many people either play D&D or would like to try it!
If you live near a gaming store or a comic book shop, that'd also be a great place to ask around. Generally speaking, gamers are welcoming and would be happy to help a new player into the fold.
If neither of these options work out, you could always try playing online through "virtual gaming tables" like Roll20.net. They often have "looking for group" forums - post and you might be surprised at the breadth of your options!
One thing you should know if you're looking for a D&D group is that many gamers tend to be very territorial about their favorite edition of the game. Some love 4E above all else, while others enjoy 3rd edition, "AD&D" (2nd/1st editions), "Pathfinder" (a re-printing of third edition by Paizo Publishing which expands the game), and many other versions or similar games. With time, you'll develop your own personal preferences, but every version of D&D can be really fun to play. Don't sweat it.
Good luck, and may you always roll 20s (unless you're the Dungeon Master, because you need to give your players a break SOMETIMES).