Yup, you want to go higher weights...and naturally with a higher weight you're going to do less reps. A good starting point is to shoot for 6-8 difficult reps. If you can do more than 5 reps with ease, or with only mild effort, you can usually go higher in weight. During the course of your training you will find out what works best for you personally.
I highly recommend stretching first and then warming up with a light weight / high repetitions. I.E. Say you can curl over 100 pounds, if you do that COLD with out stretching/warming up, you're not going to feel good. So pick up a 40lb bar, and rep it 20-40 times. This makes life a lot easier on your joints and muscles, it will prep them for the onslaught of pumping iron. ...and if/when you're going heavy on bench press, ALWAYS have a spotter, because you do NOT want that bar resting on your chest or throat.
Protein is excellent, if you're going to be trying protein shakes, let me recommend Gold Standard 100% WHEY protein. ...as far as supplements go, Creatine and Glutamine are excellent, Creatine is also in beef, but not as concentrated as in supplement form. If you take Creatine as a supplement, drink ample amounts of water. Make sure to check with your physician though before starting on Creatine/Glutamine or any supplements...I mean I didn't, but in case you have, or think you might have an allergy or reaction to any of the stuff, better safe than sorry.
I'll stop here before I start writing a book, but if you have any questions, post up I'll be glad to share some knowledge/insight.