First step is to get a Newsgroup provider we recommend the following three

Giganews - www.giganews.com
Giganews is the best newsgroup provider available today, providing unlimited downloads, uncensored newsgroups, 200 day retention, up to 20 connections (10 on most accounts) and encrypted access. The only downside is it is higher priced.

Newshosting - www.newshosting.com
Newshosting is another great provider with good completion rates and speeds. They have 2 different unlimited services, one with 45 day retention priced at an affordable $15 / month and one with 70 day retention at $20 / month. Both are great deals and offer unlimited downloads, uncensored newsgroups and 8 concurrent connections.

Powerusenet - www.powerusenet.com
Powerusenet is another alternative with a great service. They offer 2 different unlimited services. The first at $15 a month, only allows 4 connections and has 55 days retention. The second at $20 a month offers 8 connections and 75 days retention. They also offer unlimited downloads, uncensored newsgroups and 105 day retention.

The above are 3 of the best newsgroup providers available, and will help get you started and ensure you have a great newsgroup experience. Those providers that are less expensive often limit download speeds, offer less connections, censor newsgroups so you don't have access to what you need, along with many other poor qualities.