There's quite a bit of info in this cheese making section of the sausage forum. Read through some of the recipes and you'll get an idea of what equipment you'll need. The basics - something to heat the milk in; a big pot or double boiler, an accurate thermometer with a range of roughly 80-200F/25-95C, real cheesecloth (linen not gauze), possibly a press and molds and draining mat.
Here are some other sites that have recipes, supplies and possibly instruction:
New England Cheesemaking Supply recipesCheese recipesDairy Connection recipes and suppliesDavid Fankhauser's Cheese websiteGourmet Sleuth Cheese recipesCheese Wizard websiteLeener's Supply - some recipesSoft cheese is easier to make and usually can be eaten right away, so you can test your process more quickly.
A really simple hard cheese to make is a panir style(or queso blanco) - you heat milk (raw or whole milk works best) in a double boiler to 195F/90C and, while stirring slowly, slowly add 1/4 cup of white vinegar (for one gallon of milk). The curds will separate from the whey very quickly. Turn off heat, let it sit til it cools to 100F/38C. Strain the curds and whey through a cheesecloth (linen or muslin) lined strainer. Either form the cheesecloth edges up into a bag and hang it overnight or put the drained curds in a mold and press it for 15 minutes, flip it and add more weight for 30-60 minutes and it's done.
First time I did this, I just formed the cheesecloth up into a bag, put a twist-tie around it and put weight on it with no mold. Just a small cutting board on top with a jug of water balanced or some other easily accessible weight.