Starting!

Let's say you have chosen your site and registered a bank card. Your next decision is how much to deposit.
If you choose a small ($10ish) deposit then it might be an idea to try some low level limit games first. PokerStars starts at 2/4c blinds for limit Hold 'Em.

If you are rich :) or more adventurous then a bigger bankroll is a good idea. A bigger bankroll helps you deal with downswings and bad beats as they don't impact a big roll as much. For example:
You deposit $10 and sit down with $5 at a 1/2c game - Your Aces get cracked and you bust out - Half your roll has gone in one hand! With a roll of say $250 you have lost a much smaller percentage and are therefore less likely to go on tilt and start chasing your losses.

You will notice that I have at no point mentioned play money. This is because I would advise against it - It builds bad habits and the play is not the same as real money - mistakes don't hurt so you won't learn from them.