Glen,

It's not that complicated. The setup shown in the picture is just an example of how to use three lamps. One can do it, two is a bit better. These days you can use normal lamps with normal bulbs because the digital camera can compensate for the warm light.
The most important part of lighting is getting soft light! Put some cloth, thin paper, translucent plastic or glass felt (like used for wallpaper) between your light source and your fly. Careful with the heat if you use halogen lamps! You can also use a large lamp with a big reflector or one of these office lamps that use a tube rather than a bulb. By getting a large and soft light source, you get even and nice light on your flies with no harsh shadows.

Regarding camera, all you need is to make sure that the macro function is good. I recently bought a Canon Ixus 95 (Also known as Canon PowerShot SD1200) for my mother, and that is an excellent, inexpensive camera, which does macro nicely. My guess is that you should be able to find this particular model at USD 150.- or less.

The background is cardboard, which I buy at places such as Michael's Craft. They have a ton of colors and it's less than a dollar per sheet. I simply hang it using a couple of clothespins or tape or I lean up against a box placed on the table behind my fly. At an adequate distance it will render nice and out of focus. You can experiment with that.

Don't make this rocket science! Get a camera and start shooting.

Martin