A MIG set with good adjustability for welding current, most of the cheap sets have large steps where you have to adjust the wire feed speed to compensate.
Don’t expect to get into a big project straight away. Find some offcuts, from a fabricator, and practice different joints and positions.
For most steel cheaper CO2 gas is fine, if you start to do specialist work, or different materials then you need Argon/CO2 mix.
If you did chose to mess around with oxy-acetylene, for some strange reason, be careful.
Acetylene can explode if the bottle is dropped, Oxygen will combust when mixed with oil. Flame arrestors can fail etc.
There is a reason you are not supposed to keep acetylene within 500m of residential areas.