Exam P/1, the first actuarial exam, covers the basic probability concepts. It isn't necessary to take this exam first (a lot of students choose to take FM/2 first), but if you have taken a probability course and are decent at calculus, this would be a good choice.
Here's the syllabus for Exam P. You should be familiar with -every- concept on this syllabus, as the SOA can and will take questions from any topic it wants.
This exam historically has a 35-45% pass rate: here's the statistics for February, 2006: http://examresults.soa.org/february2006/february06_epr.html
The exam is 30 questions long, of which there may be 3-5 pilot questions which do not count toward passing. Passing requirements are unknown, but are estimated at 60-65% of non-pilot questions correct. Scores are between 0-10, where 6 is passing. In reality, your passing score, as long as you pass, is meaningless to employers.
You can use the suggested texts from the syllabus to study, or purchase one of the many study materials available.
Actex, ASM, BPP, among others have been used for this exam. I used Actex, and took about three months of study after Math 244 to pass.
BeAnActuary.com has a great collection of past exam problems: VERY USEFUL.
You can also choose to take a seminar or online course, but I have no experience with those.
Here are links to study manuals:
Ramanathan - Note: I've heard (I don't have firsthand experience) that Ramanathan is DIFFICULT, but that you'll be much better prepared IF you can work his problems.
You can also buy the textbooks from the syllabus at Actexmadriver.com, but I didn't use any of the textbooks and did fine with just Actex.