There should be a 'Beginners' (or possibly it's called a 'Starter') set. This has a good selection of base colours, a built-in palate (although it's a bit fragile, but it should suffice to start) and a paintbrush. I'm not sure if they still do 2 sets; there's one with the paints + brush, but there is another one with a few snap-fit Marines included. In fact, there might even be a version of Assault on Black Reach that includes the paint set, although it will be a little more expensive.
I know there a lot of people who don't go to GW stores, but if you're just starting out, I'd advise you and your friend to go down there and they'll run you through a game, let you use some of the store's models to get more used to the rules, and they'll give you some useful painting lessons; there's also an intro-deal where you get your first model free- although I doubt it would be anything too expensive or world-beating!
As other folk have said, start small and build up gradually, probably go for 500pt blocks. There's nothing worse than starting to build stuff and then being confronted by a huge sea of plastic that you'll never paint. If you start small you'll be able to play lots of small games (because they take less time you can fit more in) thereby getting more and more familiar with how the rules work. You'll also be able to see what sort of army actually appeals to you, informing what you buy in the future. For the moment I'd ignore all of the net-lists you might encounter- have fun and immerse yourself in the coolness, buying what you think looks cool and lets you play the way you want to. When you know what your doing and how you want to play, then you can, if you're interested, start down the road of hard-as-nails lists!
Good luck and I hope you and your mate have a blast; I know I did!
GFP