After you've been to rendezvous once or twice, and you really want to get into it, then its time to choose a time frame to represent. You might be a young French Voyaguer, a British redcoat, a plain farmer, tough mountain man, or numerous other things. After you have chosen your character (real or made-up), you must begin to gather supplies that you need for your character and his calling. If you are an indian, then you might need to buy some moccasins, and a part of the colonial militia needs a tricornered hat obviously. Buy what you really need, then proceed to buy what you want. (a.k.a. a rifle or good tomahawk)
Then you are pretty much set!