I know I should invest my money, but what should I do first?

It's been drilled into my head that I'm going to lose my money, either to taxes, hidden fees, or suprise costs in anything I invest in. Is there some place I can turn that won't prey on my inexperience AND get me started in the right direction?

First ask yourself what is the purpose of your investment. Are you saving for college? Retirement? Need to buy a car next year? Need to have something to talk about at cocktail parties?

Ask yourself how much risk you can tolerate. Will you be able to sleep at night if the stock(s) you own drop by a few points on any given day? Or, do you need the stability and safety of a risk-free asset like Treasuries?

Ask yourself if you need your investment to generate income. Will the interest and dividends be an important part of your cash flow?

How long can you afford to have this money invested? A few months? A few years? Forever? This will also affect your choice of investments.

How important is liquidity to you? If there is an emergency in your life, will you be able to get out of the investment quickly enough and with minimal transactions costs to take care of it?

Taxes: Know your tax bracket, and consult with your broker or financial advisor to get you into tax effecient investments.

Last, as a beginning investor, people will probably recommend you look at mutual funds. This can be good or bad depending on how you approach it and what you end up choosing. The best advice anyone can give you is to READ THE PROSPECTUS. It is dry, dull, deadly boring, and will put you to sleep quicker than a European movie, but it will explain about the different classes of shares that are available and the fees associated with each one.
Good luck.

No taxes: Municipal bonds. Drawback- Low rate of return.
Taxes: Stock market. Rate of Return huge.
Read a few books first, develop your strategy, always use a stop-loss order on every trade, and make profit. Never worry about taxes or broker fees. Scottrade is $7 a trade. Always make a profit, worry about taxes later, I take it you are probably in the 15% tax bracket or something around there, so you need not worry about taxes, nor really need to implement a tax planning strategy. First read these books:
Nicolas Darvas- How I made $2000000 in the stock market
Ittelson- Financial Statements
Timing the Market