Hi, as mentioned there are heaps of threads on here to look at, but I suppose to summarise it is pretty easy, but also more expensive to set up than bottles. The up side is that you can drink in as little as 36 hours once it is kegged (no waiting 2 weeks for bottle carbonation), no cleaning bottles and capping them, no sediment in your glass, and you have beer on tap.
I went to kegging a year ago, and love it, all up the cost was about $550.00, but I purchased my own C02 bottle, and you can hire these and get them refilled at your LHBS or through BOC Gas and save about $150.00 to $200.00 on your set up costs, but will need to pay rental.
You can purchase a single or double keg from LHBS or ebay, a double will cost between $350 and $400 and include 2 kegs, tap, regulator, disconnects, in most cases food grade hose and mouting tubing for your tap, almost everything you need except for...
C02 bottle and gas
Fridge that will need to be converted (drilled and sealed) to mount your tap, and your C02 line if it is stored outside the fridge (I picked up one on ebay for $1) and converted it in about 1/2 an hour. Your LHBS can also provide instructions on how to do this.
Basically you need to get a fridge that can store your kegs (the most popular are the Cornelius 19lt) and 2 chould get you started although you will soon find you will want more!
You need to mount your tap on the front and have enough food grade hose so that you can open the door and still have your tap and hose connected to the keg, unless you get a gun system and then can keep it stored in the fridge without drilling the hole on mounting on the door, but you will have to open the fridge every time you want to pour a beer so I suggest a tap. Detailed instructions are available on line and from your LHBS, it is pretty simple though.
Once my brew is ready (it is made as per any other brew), I siphon into the sterilised keg using food grade hose from my fermener tap, put the lid on the keg, purge it with gas to clear the headspace and then refridgerate and carbonate from my C02 (there are different methods to carbonate so try them and see what you prefer). If there is anything left in my fermenter (as I usally brew 23lt and keg 19lt), I bottle that in Grolsch bottles to take to BBQs etc).
Less than 2 days later I am drinking beer on tap.
Kegging takes less than 10-15minutes, as opposed to how long it takes you to clean, sanitise, bottle and cap your bottles, and you dont have to wait the 2 weeks to enjoy.
This is a very simple outline, but do your research on this web site and talk to you LHBS, as it is an expensive outlay but well worth it...just ask any kegger!
Brett