I also sharpen with dry stones. You can get a decent, dual grit (one on each side) 8" bench stone at a hardware store for 10$-20$, depending on location and quality. I got mine from an ACE hardware store and it does the trick just fine. You'll also want to get a ceramic sharpening rod, which you may be able to find at the hardware store, or possibly at Wal-Mart or K-mart. Check out sporting goods stores as well. A ceramic rod shouldn't be more than $10. This will help you to remove that wire edge once you're done with the stones. When using fairly coarse stones such as the one I'm suggesting, you won't get a really smooth ege, but as long as you do a good job of removing the burr it will cut very well. These are the basics; you can go anywhere from here. But if you learn to sharpen with these basic tools, you'll get better results from more advanced sharpeners later on because you've already learned the basic principles of doing it by hand.
About the burr, you usually can't actually see it, unless you hold it in the light just a certain way, but you can usually feel it fairly easily. For a beginner or an expert, the magic marker trick is useful. It will also help you to see how consistent your stroke is. beyond that all I can say is good luck and be careful! I've gotten some of my worst cuts while sharpening. Not that I'm trying to scare you, just watch where your fingers are in relation to the blade. After a while it'll be second nature, but at first it can be tricky.