The standard “d20 set” (d20 means “20-sided dice” in the D&D books this shorthand is everywhere) comes with one of each of d4, d6, d8, d12, and d20 with two d10. The next thing you’ll need is a bunch of dice. There are also downloadable blank character sheets for when you’re ready to make your own (you’ll need the Player’s Handbook to make your own characters). Character creation is an undertaking deserving of its own article, but fortunately there are a bunch of pre-made characters on the official D&D website.
The first thing you’re going to need is a character sheet, and a character.