How should I start with HeroClix?
Choosing a starter set:
Buy the starter set that most appeals to you. If you love Marvel, then look for something in that line. The latest starters will be the most up-to-date rules wise, but that shouldn't be the main thing driving your decision. 

Personally, I love the Fantastic Four starter set: two great teams that form a perfect collection on their own.

Finding A Community:
Boardgamegeek.com is a great place to start. Check out the forums. I also recommend Google Plus, starting with a search for Heroclix. Lastly, search for Heroclix bloggers and ask them where they play. People who are active on the web have always been the most helpful to me. 

There are ways to play HeroClix online. Look at hco.heroclix.com (although they might not be accepting new players) and www.vassalengine.org.

Getting Figures:
First focus on a starter set and a play group, then on getting figures. Players may have extra figures that they'll be happy to pass on if you're serious about getting started, and they can recommend good places to buy figures. Most of my collection has come from online contacts.

Learning the Rules:
YouTube. Again, people who are blogging or vlogging are a very helpful resource. Also, download the rules from the WizKids website.