I am a beekeeper...well, was a beekeeper. My hives died a few years ago and I've not had time to re-establish them due to home construction projects.
You can buy beehive supplies online. The class will likely have local resources available for you to find who sells wooden hives in your area. A lot of guys like to make them as a hobby. There are a lot of options when setting up, but you basically are going to start with a base, bottom board (screen), brood box, and a lid. Once the hive starts to grow as the season goes on, you can add a honey super...then another...then another. You just want to control the hive so it doesn't get too big too quickly. You'll want to have a proportionate number of bees to supers or they'll never build out all the frames and it'll be more difficult to harvest the honey.
Some beekeepers will put a queen excluder in (screen that allows smaller worker bees to move up through the hive). That will keep the queen from laying eggs in the honey super and make it and all supers above it only for honey. Just be aware that not all hives accept the excluders. Some of them don't do as well.
You'll need to feed the bees with sugar water until it warms up. Deal with swarms if you must....if your neighbor calls police or whoever, they usually have a list of bee keepers they go down to remove them. If your neighbor doesn't notify you, someone else will get your bees. If you don't do anything with a swarm, it'll usually move on eventually until they can find another place to live.
Your biggest threats are mites, pesticides that screw with the bees causing colony collapse, blue jays eating your queen, and spiders/hornets infesting the hive.
Wild queens are typically more successful than purchased ones. Queens you can buy are usually Italian or Russian. The Russian queens are supposed to be more hardy, but Italians are more common. Research those choices and maybe start a few hives.