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that depends on what resources you have: if you already have the core books and the beginners box then I would start with a beginner's box session or two to sort out your group with the combat system and to try out different character types to see how and what they want to play then move on to personal character creation and probably an adventure path as although they're somewhat linear they demonstrate good progression and let you ease in to things, I would recommend serpent's skull or shattered star as they both give early necessary roleplaying interactivity with NPCs.
if you have different resources let me know and I'll have a think

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To add on to Ronin's post, it also depends how much experience everyone has with RPGs in general. If you're all familiar with D&D 3.0/3.5, you can probably skip the beginner box and go with the core book. If everyone's good on other RPGs but ones that aren't too similar, maybe go with a session or two of beginner box to ease in to the new rules. If you've got people that are completely new to tabletop RPGs, go with the beginner box for awhile until everyone feels comfortable, then add on the core book stuff.

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I agree, if you guys have played D&D before you can just grab up the core book and a level 1 adventure and go. If you're all completely new, WELCOME!, and go with the beginner box.

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ah, so you're completely new. well in that case depending on your cash resources you could either go simply with core rulebook and the first 1 or 2 installments of an adventure path which should allow your group to at least get started and poddle along for a while. the beginners box is however as I say a nice introductory system, very pick up and play. following that I would say depends on where your group wants to go; a lot of the core material is available here on the site under the rules archive section for free so that should help.

Evilserran |

Playing both the DM and a PC is not too hard. The biggest thing is, as a DM, to make things fun for your players. Therefor your PC should not be "Better" or "Steal the show" he should not use any out of character knowledge at all, and should be limited on how much story progression he does, unless prompted to do something by the other players.
I.e. Bob the ranger should not point out the hidden door he sees to the treasure room unless prompted to by the group.