For the sake of simplicity, let's start with the basics. There are essentially 3 main brand names for scroll saw blades that are the most used, at least by the folks on this forum.
Those would be Pegas, Flying Dutchman and Olson. Pegas blades, as mentioned, are available from Denny @ Art Crafters. The other 2 are available from Wooden Teddy Bear (among other places). For starters, that will get you going. As for which brand to choose, right now, as a beginner, I don't think it really matters all that much. There really isn't a wrong choice. They all will do the job. Until you get a feel for what blades you want to use, pick a brand and run with it for a while. Many of us have tried a lot of different ones and have a large variety on hand, most of which we don't really use. So take Denny up on his offer. He will point you in the right direction and help you choose what size & type of blade to get you started. And you can always come back here for more advice. Search the forum. Questions about what blade to use come up all the time and there are many threads on the topic.
Good luck and let us know how you are doing.