If you've never played before, I'd look to see if there is any store near you that runs any sort of beginner DnD class or if there's any sort of DnD meetup club (maybe check meetup.com or just google it). Gaming or board game stores might have something like this. It would be good to have a little more knowledge of how the game actually runs so you can see how you like it and how much you want to get invested in it, because there's a lot of books and they're not cheap if you get ones you'll never use (and there are a lot you'll never use). I suggest joining another group because they'll likely provide all the books and other resources you would need and they would have someone to act as DM and likely already have adventures set up.
If you really want your own stuff, then all you really need for the basics is the player's handbook and the basic monster manual, there might be an extra rules book too, but I can't remember. I wouldn't get the one you linked to though, because that just looks like a modern update of the very bare-bones original edition. Don't bother with figures or maps, I think it's more fun to just imagine what you're doing than plotting out a map and making it into a board game. Past this, you just need dice and a group to play with. I would suggest getting someone else to be DM because I like being a player best, but at the same time, the DM should be pretty knowledgeable about the game, so again I would suggest finding another group to join first so you can have that experienced DM while you get your feet wet.
