If you are NEW to Arduino in general.. I would say DO NOT jump right into using an ESP8266 module.
While they are extremely well documented and tons of tutorials and code out there..
If you dont understand the basics of using an Arduino.. you are doing yourself a disservice.
At the top of this site if a link called: RESOURCES >> TUTORIALS
I suggest walking through those.. as well as the tutorials/examples in the Arduino IDE itself..
Once you have a grasp on basic components and terminology,... then move on to the getting an ESP up and running.
When you get this point.. I still suggest you get yourself one of the ESP8266 DEVELOPMENT boards... so you dont have to worry about level shifting and power requirements.. and how to flash them...etc..
a typical wide variety/assortment of resistors, capacitors, pots, leds, transistors, voltage regulators...etc.. and you should be able to walk through most projects...