If at all possible, the best way to start to learn the saxophone is to get a good teacher to help you along the way.  I didn’t start out with a teacher and ended up with a few bad habits that just made playing that much more difficult.  Plus I now have the extra challenge of “unlearning” these bad habits.  So do yourself a favor and find a good teacher in your area.  If you live in the Houston, Texas area I would recommend Alisha Patillo.  She is a great teacher in my opinion and helped me get back on track.  Currently I have to stop with my lessons for a few months as money is just tight right now, however as soon as things pick back up again I will sure to get my lessons going again.  Alisha has a web site you can contact her by going to http://www.saxophonelessonshouston.com/