As far a s lessons go, you could go with some software and an interface. But you might want to play elsewhere than your computer, so I personally would recommend a practice amp. From personal experience, I'd suggest a Fender Vibro Champ XD.

There are a lot of pros to getting some good s/w, though. I don't use any but I know you have pretty much anything you could want for amps and effects all conveniently at your keyboard.

...But, you can get all that in a multi FX pedal, too and take it anywhere you want.

IMO, go for an amp. You'll eventually get GAS and want to buy stuff. It doesn't matter what, you'll just "need" it. :)