Hi Alex and a belated welcome to IDO! There are much better trout minds than me on this site such as LenH and Steve Root but I’ll share my $0.02 as I just started fly fishing last year. Hopefully I don’t lead you astray and those guys can correct me if I do. You’ve got some great streams in your region and the North Shore is fun as well.
From a setup standpoint there’s nothing wrong with getting a “starter kit” offered by many reputable fly companies (Redington, Orvis, etc). I was skeptical of this idea but was assured that it’s perfectly fine for beginning on SE MN trout streams. That said, you’ll want a different setup for North Shore steelhead than you will for SE MN stream trout.
Stream trout in your area: 4wt 8-9′ fly rod with matching fly line. A high quality reel isn’t a priority for the relatively small fish in your region. Reels basically just hold line and backing for most small freshwater applications. Feel free to go with a 5wt 9′ rod and matching fly line too as it’s more of an “all around” rod allowing you to fish with smaller bass presentations as well if that’s your thing. For dry flies (small, floating) and small nymphs (underwater “jigs”) I’d use a tapered leader about the same length as your rod and use tippet (the end of the leader) of size 4X, 5X, or 6X. As a general rule you divide the size of your fly (they’ll range from <0 for huge muskie flies to 24+ for very small) by 3 or 4 to find the appropriate tippet size +/-1 isn’t going to hurt.
Steelhead: Use a beefier setup all around. 7wt or 8wt rod and accompanying line. Thicker leader and tippet, depending on presentation. A rod of this weight can also be used for smallmouth. At this point the quality of your reel might start to matter more since a nice steelhead will take line and you’ll want a good drag system.
This all sounds like a lot of jargon and can be intimidating at first. I found a great resource on Youtube offered by Mad River Outfitters EDIT: McCrappie already made this suggestion so you know they’re helpful. They do a great job of not being pretentious, catering to beginners, and they have video series on getting started in fly fishing, fly casting, Q&A, etc.
If you want a confidence booster, try fishing the Duschee Creek outside Lanesboro. It’s right next to the DNR fishery and has great populations of “dumb” trout to let you practice presentations, techniques, etc. I’m not giving away any secret location with that suggestion so be forewarned that there may be others there but it’s very fishable.
It also never hurts to stop into a fly shop and shoot the $hit with the folks there. They’re a wealth of information and want others to get excited about the sport. Try Driftless Fly Fishing Company in Preston or Root River Rod Co in Lanesboro. Good luck, it’s addicting!