The last two comments, they're both baised in their own ways. E-trade, scottrade, they all the same, some charge more, some charge less, some have more features, some have less.
Kalo bhale, the only thing I can tell you is start reading financial websites and journals. Here are a few:
Wall Street Journal
Read those, become knowledgeable about the markets and comfortable about investments. Once you know how to analyze companies, you'll automatically start researching on which broker is right for you. You can go with the big banks(who may charge fees but provide a lot of analysis and reccomendations) or with direct Access Brokers that charge minimal fees, but you'll have to rely on your own judgement.