I'd definitely start at the Dealer for the brand of machine you have. Most dealers offer free classes if you purchase the machine from them; if you didn't purchase there, you can still take the classes (at least around here you can) for a fee.
If you're new to machine embroidery, the classes will save a lot of aggravation as well as the purchase of a lot of unnecessary items. It will also give you a chance to get to know the dealer; embroidery machines require more maintenance than older machines, so its a good idea to know and be comfortable with the shop. JMHO!