I have never seen a "set" of dumbells that come in 8-10-12, but you can buy them separately at either Wal-Mart, K-Mart, or any sporting goods place.
A lot of folks around here like the "Troy Aerobic Lite" barbell, with which you can load it to 40# with what you get in the set. Don't know how much shipping is:
http://www.fitness1st.com/Troy-Bars.html
I know somebody got a barbell set at Amazon.com for like $20.00, but again, don't know about shipping.
If you have not done a whole lot of lifting, I would personally recommend Cathe's Supersets & Push Pull. She used a stability in Push Pull. I found these to be a good intro for Cathe's style, and they prepared me for her more advanced Dvds also. Later, you might like Pyramid Upper and Pyramid Lower Body. These are very straight-forward..just good, old fashioned style that reaps great benefits. I only say later, because you will have built some strength up and have a better idea of what size weights you'll want to use. Oh, and Muscle Endurance is fun, too!
She has a beginner DVD also, I believe it is called Total Body Sculpting,(?) but I don't have it. You might want to check out the video clips to see what suits you.
HTH, Julie