Heavy lifting...when do I start?

I know I definitely want to get into lifting heavy, and I am looking into NROL4W. I have only really been doing cardio for the past two weeks 4-5 times a week for 30 min. I'm walking and sort of jog/walking in intervals at this point, as I'm simply too out of shape for much more than this. I also don't have a ton of free time between work and caring for an infant, BUT I know I want to get into lifting and not just stick with only cardio. My question is do I wait until I've lost some more weight and get better at endurance / cardio, or do I just go for it and begin lifting even though I'm still a beginner? I have a lot to lose, and I'm hoping to see steady results eating above BMR and working out 4-5 times per week. Any suggestions and help would be much appreciated!

ETA: I can't really afford a full gym membership at the moment, but I already have a nice running treadmill, and I'm thinking of asking Santa for a nice weight set. What would you recommend as a good starting set?