http://www.donosborn.com/
He's actually got videos up to show you hows it's done.
http://suburb.semo.net/jet1024/BeerHome.htm
Another excellent site that makes it pretty easy.
The additional equipment I purchased.
A turkey fryer. It has an aluminum pot that a lot of people poo poo but I haven't had any trouble with it, nor have the friends who talked me into this. I picked mine up from Craig's list for $20.
A five gallon cooler from Wal-Mart for about $15. This is my mash-tun
There were some small parts for the mash-tun I bought at Lowe's. The video sight has the part list
The grain mill. Most homebrew stores have one available for use. You can use theirs until you find one for sale used or just suck it up and buy a new one. They ain't cheap new. I got mine used when a friend of a friend upgraded his Crankenstein to a Crandenstein 3D.
Why the switch to All grain? Well I was complaining about the rising cost of the extracts and a friend sold me on the cost factors for All-grain. In the three batches I've made so far, I've cut my cost by more than 1/2 of extract brewing. I was spending about $47 per 50 bottles or $0.94 per beer. Only slightly cheaper than Sam Adams. Now I spend less than $20 per 50 bottles or $0.40 per beer. With the bargain shopping on the new equipment I've already paid for it in cost savings. It would have taken me 5 batches to break even if I had purchased a new mill. On average so far it has taken my approximately 5 hours more than extract brewing. So there is the time commitment, but I think it's worthwhile. It's supposed to be a hobby after all.
The all grain recipes.