There are entire books about this subject. Getting the TOR client is a good place to start. That's basically the web browser for the deep web. You should also get set up with a VPN service to add another layer of security.
Yes, you can "buy absolutely anything" on the deep web. Covering your tracks can be tricky, though. Let's say you buy a bunch of drugs from Silk Road, which is basically Ebay for illegal items. Do you have them shipped to your house? To work? How do you get ahold of them? How do you anonymize your Bitcoin payment?
There are ways to do all of this, but it's complicated, and even pros get it wrong and land themselves in prison often. Secondly, since what you're doing is (presumably) illegal, there's no guarantee that you'll actually get what you paid for. Sites like Silk Road have the typical built-in feedback system, but if you spend a couple thousand dollars on a pile of cocaine and it doesn't arrive, that's that.
You don't need to be a criminal to access the dark web. There is a lot of interesting content out there, such as political dissidents bypassing their government's firewalls to expose atrocities, etc. Some of it is ordinary content, from people who just don't want to be tracked. Then, there is some really objectionable and illegal stuff: child porn, assassins for hire, etc. "Unregulated" means exactly that, and it can get very ugly very fast.
Don't be an idiot on the dark web. Never, ever, give out any of your personal information. Don't harass people, don't put out personal info of people you don't like, and don't do illegal things just because you can.
Before you download your first bit of software, I'd buy and read a recent book on the subject. There's more to the dark web than just browser content, just like there's more to the internet than web pages. A cheap e-book from Amazon, etc. will give you enough information to get started, and will give you a lot of very useful privacy information.
