There are no rules about getting into pigeons but it's a good idea to pick a breed first, or at least decide if you will be raising show birds, performance birds or raising for genetic purposes (like colors). This is because it may determine the type of loft, nest boxes etc) you build. But a basic loft with perches will get you STARTED in any of the above.
There are a few things I like about the diving breeds:
Hawk attacks are a huge problem in most parts of America now. Rollers, homers and fancy breeds get picked off by the hundreds. Diving breeds are only in the air for a few minutes at a time and flown in fewer numbers at a time, which doesn't attract hawks like a kit of rollers or whole flock of young homers.
Also, with other breeds, you may have to wait hours for them to come down and trap into the loft. With diving breeds, I can fly them, have them drop and be done in 5 minutes. Or I can fly them and watch them dive 4-5 times in a row, which is convenient for someone like me with a wife and four kids
Take your time, ask lots of questions and enjoy yourself!