The easiest way to experiment with starting a hydroponics system is to purchase a kit that will provide all you need to get started. You'll get everything from grow lights and nutrient formula to seedlings ready to go, depending on how deluxe of a package you choose.
If you're looking for a cheap way to start with hydroponics, you can certainly do so without a full-scale kit. Many hobbyists grow their crop in old aquariums and suspend gro-lights purchased at their local garden shop. A small pump is adequate to move your nutrient solution around and a food-grade container can easily act as your reservoir. Do some research on DIY beginner hydroponics to get the details on connecting your pumps and choosing an easy-to-manage model to get started with.