I'm with you dude...no prior experience but I'm going for sell-side research. Let me regurgitate what I've been advised to do:
1) know the difference between buy-side and sell-side!
2) read wsj every day (as a minimum)
3) buy some stocks
4) prepare a couple of stock pitches
5) take the first CFA exam
Reading list (others can add):
Real Money - James Cramer (if you can stand Cramer! explains the basics well if you're completely green but you'll need more advanced stuff later)
Enron: the Smartest Guys in the Room - Bethany McLean (how to fiddle financial statements 101)
The Intelligent Investor - Ben Graham (principles of "value" investing)
I also read a decent Warren Buffet biography, can't remember which one.
Hope that helps - good luck!
If I said something intelligent, it was probably by accident. But click "kudos" anyway - it will make me happy.