Another really good option is to pick up a library card since the library actually has a pretty good selection of fly fishing books that you can borrow and peruse. Lots of 'beginner fly fishing' books are available as well as quite a few casting books.
For a rod I'd suggest looking into one of the TFO (temple fork outfitters) combo rods. For ~$220 you get a case, rod, and reel fully set up with a floating line. A good starting rod would probably be the 5/6 wt. package since that is big enough to fish any of the larger rivers in Alberta while still being small enough to enjoy fishing some of the smaller streams and creeks as well.
In regards to flies, check out the icky fly works website. I believe he's a sponser of these forums (!!!) and flies through that website will run you roughly $1 each with free shipping if you order over $30. There's also a few fly combo packs for the type of fishing you think you'll be doing (ie bow river, alpine streams, lakes, etc) so it's an easy way to get a stocked fly box for relatively cheap without having to know too much about which flies you should be ordering.
Aside from flies and a rod you should also pick up a few spools of tippet (likely a 3X spool and a 4X spool would be fine) which will run you <$5/spool, and that should be enough gear to get you started.
Also, make sure you either grab an online copy or a free paper copy of the 2012 regulations.
If you'd prefer not to have to shell out for a fly fishing lesson than definately spend a bit of time in a field learning how to cast after either looking at some online videos or reading through a casting book before heading out for your first time on the water.
Finally, don't be afraid to ask questions on these forums. Although I certainly haven't been an actual member for very long I have been lurking them for a while and have noticed that the peeps here are both knowledgable and willing to share that knowledge freely and that can be quite a good way to help ease you into this wonderful sport.
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