The best place to start is the 'sticky' thread at the top of this forum. It contains several very useful articles for the beginning bp shooter. Of particular interest to you will be Gatofeo's posts, but you'll want to read others as well.
The starter kits are fine; you can probably save a couple bucks by shopping around and buying things separately, and there may be some things you don't really need, but it's only worth your time if you have little else to do. Cabela's is a well regarded source and they do indeed have all you will need; others are Track of the Wolf, Jedediah Starr, Cain's Outdoors, Log Cabin Shop, The Possibles Shop, October Country, Dixie Gun Works and many others.
Pyrodex is not smokeless powder, it's what's called a substitute black powder. There are other brands of bp substitutes, such as Triple 7, Jim Shockey's, American Pioneer. I personally much prefer to use real black powder, but I have no problem with anyone starting with one of the substitute bp's. Incidentally, smokeless powder must never, ever be used in a gun designed to use black powder. Serious injury or death can and will likely occur. If your powder doesn't say 'black powder' or 'substitute black powder', or if you don't know what it is, do not use it in a black powder gun.
Sabots are small containers that carry bullets that are themselves smaller than the gun's bore. You can shoot .45 cal bullets in a .50 cal gun using sabots. Black powder revolvers do not use sabots, so if you are just interested in bp revolvers you needn't be concerned about sabots.
Finally, I very highly recommend two books: Percussion Pistols and Revolvers, History, Performance and Practical Use by Cumpston and Bates, and the Lyman Black Powder Handbook. Both are available from amazon.com.