Before you spend big bucks I suggest you try an all grain batch or 2 with simple methods.
Buy a 6-7 gallon pot for boiling the wort
Get a picnic cooler for the mashtun/lauter tun. You can build a latering system with drilled pvc piping. I use a Jack Smidling (is he still around?) EasyMasher, which is a sealed SS screen and a brass tap.
Found a picture, and they haven't improved the picture since I bought mine 12 years ago!
I replaced the outlet of the cooler with the Easymasher.
For sparging, I used a large water pot of water, and I made sure I slowly poured the water in, and had it hit a spoon so it wouldn't create channels/stir stuff up. The grain husks themselves are the filter, not the lautering system.
You crush the grain (have the home brew shop do this for you! They usually will.) Put it in the mash tun. If you do a single step infusion, you pour in a water. There are equations to calculate the infusions. I have an excel spreadsheet for infusion mashing, if I can find it!
Once you have let the conversion take place, you add boiling water to stop the conversion (raise the temp from mid 150's to around 170-175).
Then you basically, you open the tap, and it will start out cloudy, and you recirculate this back into the cooler until it goes clear. Then you add the sparge water on top of the grain and drain until you the specific gravity drops low enough that you're getting mostly water. (Hint here, if you acidify the sparge water, it will prevent pickup of tannins, even if you go pretty low in specific gravity).
Take your 6 gallons (you'll be boiling it down!) and start the boil. You need to boil it for 60-90 minutes. The rest of the process is the same as what you are used to. It will help if you have a wort chiller, so that the wort is cooled to 70F as quickly as possible.