I recommend you start with Google AdWords. Once you get your feet under you then move to Microsoft adCenter and Yahoo! You will also be able to use your existing (and proven) AdWords ads as a starting point for MSN and Yahoo! which will save you some time and money. Of course, this means you will need to allow yourself some time to tweak and monitor your ads on Gogle before you try the other PPC services. Check out this site for other help starting your pay per click ads. http://www.payperclickreference.com Huligan
I started with Adwords, but somestimes Yahoo or MSN can actually give you a better ROI, if less exposure.