Advice on weights needed!!!

starting strength or stronglifts.

Cycling conditions more than it builds. Do the barbell squats. They help immensely with sprinting and climbing.

Starting weights sets and reps not done any before!

starting strength and stronglifts are the names of the programs. Plug them into google. Pick one.

If you've not done anything before please don't feel I'm being cheeky by going from basics:

Stretching:
If you're going to be lifting weights there are schools of thought that stretching can actually be detrimental to your lifting and that you should warm the muscles up with some cardio (such as Rowing Machine) or by performing the exercise you're about to do with a low weight.
Between the two arguments I've always gone with the one that works for me, personally I perform the exercise with a low weight but that is personal preference.

Exercise:
The routine you want to follow and the exercises you do depends on what you are trying to achieve but there are some basic rules that apply throughout:

Reps: How many times you perform one movement
Sets: How many time you perform a set quantity of Reps.

3Sets of 10Reps means 10Reps, then 10Reps then 10Reps.
Leave between 1minute and 2minutes between sets.

Generally 8-10Reps is a good number to aim for if you're starting out. If you can do 3Sets of 10Reps easily with a weight move up a weight.

Using free weights is better than using a machine in the respect that you activate other muscles for balance.
Good Form is more important than speed or heavy weights, always concentrate on form.
Squats and Deadlifts are excellent for all round fitness but again watch your form.

For training plans and how to do exercises properly check out these links.
http://www.bodybuilding.com/exercises/
http://www.bodybuilding.com/fun/workout.htm

I hope some of this helps.