I would start by reading all I could on the internet. There are hundreds of polymer clay sites.............and many good books on the market.
Just do some research.

I saw on a home improvement show, just the other day, the lady was making objects with a clay she could bake in the oven. I did a web search, but I can't find out where to buy it.

Walmart used to carry Sculpey III but not any more, at least not in my area.
You're most likely to find it in a craft store like Michaels or Hobby Lobby, maybe Joanns. Or... several places online sell it.
I would recommend choosing Premo over Sculpey III though, if given the choice. It's easy enough to work and more durable when baked.

If you look through the posts in this forum, you'll come across lots of good sites with free how-tos.
Go for it and have fun!