I'm an amateur golfer looking to get a set of clubs to help me improve my game but don't even know where to start.

I'm beginning to get into golf and up until now I've been using my brother's clubs. I want to step up my game though and get my own custom set. I've got a budget of $800 max and was just looking for useful knowledge or even tips on places to go that will help me through the process. Thank you!