Suggest you attend a rendezvous, black powder match or skirmish conducted by the North South Skirmish Association. The black powder crowd is the friendliest in the entire shooting community and folks will be happy to help you out.
There's several types of black powder shooting. Black powder cartridge guns are popular with the Cowboy Action Shooting Society. Rendezvous (fur trade era - post Lewis & Clark) tend to go for percussion cap fired guns. Flintlocks are preferred by those who are heavy into history or are just fascinated by the earlier firing mechanism.
You don't need a lot to start either. You can buy a used muzzle loader for about $150 (one person may be selling their Hawkens for that much at our sister site, The High Road) and all you need are balls, patches and a powder flask or horn and a measure. Don't drop a wad of cash on the hobby when you just start. Go slow, learn to shoot and have fun safely is the first rule.
If you get seriously into it, you'll wind up making your own equipment anyway. Heck, I just learned to knap flint and to sew moccasins (walking around with my tender feet in them is another story). Been making and scrimshawing powder horns for a couple of years now (easy & fun) too.
You may also want to contact the Field Representatives of the National Muzzle Loading Rifle Association. They could hook you up with folks who can act as your mentor/instructor. In AZ, it's
Bob Michael, 928-634-9704;
Dana Dore, [email protected]
Dwight Powers, 928-333-4494.
If you have any other questions, please post them and I'll try my best to respond.