There are a lot of starter kits on the market. Sportsman's Guide, Cabelas, Dixie Gunworks, Track of the Wolf, and most sporting goods stores should have them. It's plenty easy to put your own together though, and you'll end up with things that you like better. The loading process isn't very complicated, but it takes a little getting used to.
First off, you'll need a way to measure powder. You can get a nice adjustable powder measure for just a few bucks. A powder horn or flask is handy too, as pouring from the powder can is a royal pain.
You'll need balls (or bullets) and patches. The manual should give you some starter information such as ball size and suggested loads. If it's a .50 caliber, using .490 balls and .015 thick patches is a good place to start. .530 for a .54 caliber, etc.
You'll need powder and caps if it's a percussion gun. Black powder works better than substitutes, but is hard to find in some areas of the country. If you can find it, it's definately worth using.
You can use a dedicated black powder lube for the patches, but there's really no reason to. Crisco works just fine for a lot of folks, or even a spit soaked patch (yuck!). I use Ballistol as a patch lube, powder solvent, general gun oil and even to protect the wood stock. Olive oil works too and there are many recipes for homemade lube on this site and others. Just avoid petroleum based products. For a commercial product, Hoppe's black powder lube and solvent is a great patch lube.
A nipple pick is handy to have for poking crud out of the nipple hole before reloading. You can improvise one from anything that'll fit the hole.
Black powder and Pyrodex residue is extremely corrosive, so it's best to clean the gun as soon after firing as possible. Cleaning is as simple as dish soap and warm water. No need for specialty chemicals. The water dissolves the salts created by firing and flushes them from the gun. The flushing action is the most important part. Smokeless powder solvents won't work well for muzzleloaders. In fact, even black powder solvents won't flush the salts. They dissolve fouling fine, but it still needs flushed out of the gun. The easiest way is to just stick the barrel in a bucket of warm soapy water and run a patched jag up and down the bore a few times, then rinse, dry and oil.
Lube with any good gun oil, but be sure to remove any petroleum based oils from the bore before shooting, as they mix with powder residue and create the worst fouling imaginable.
A short starter is handy for some guns, as the ball or bullet can be hard to start. You can make one yourself if your handy, or buy one for a few bucks. Not usually a necessity, but nice to have.
Once you start shooting, you'll need to tinker with the load to find the most accurate one for your gun. This is why pellets are a big disadvantage besides being overpriced. Loose powder lets you adjust the load to find the best accuracy. The most accurate load is rarely near the maximum load. 60-80 grains usually work best in most .50-.54 guns, a bit less in .45 guns. Ball size and patch thickness may need adjusted later on also if you run into a problem with blown patches, too tight or too loose of fit, etc.
Keep it simple and just have fun shooting!
I thought I was the only one dumb enough to do that until one night at a campfire the everclear loosened tongues enough that I confessed my stupidity and learned that I wasn't the only one.
