Getting started on the dobro.

You don't necessarily need a real dobro guitar to play in this style, as a regular guitar with a modified (raised) nut and saddle will work just fine. You can sometimes find cheap lap steels at pawn shops in the $50 range that will do to get you started, too. 

Most players use relatively heavy gauge strings. One of the more popular string sets is the FT-13 from D'Addario. It's a bronze string set which is endorsed by Jerry Douglas. The gauges in this set are: .056-.044-.036-.028-.019-.016. Personally, I prefer the last two gauges to be .018 and .017, but it may just be my imagination that I hear a difference. It seems to me that more players use bronze strings than nickel, but I think that it really just depends on the individual dobro which type of strings to use upon it. Either way, you should try several of the different pre packaged sets.

Next, practice, practice, practice...