How do I buy my first Ethereum?

Could you please explain the process of purchasing my first Ethereum? I'm completely new to this and feeling a bit overwhelmed. Where should I start? Do I need to set up a specific wallet? How do I choose a reliable exchange? Are there any safety measures I should take? I've heard stories about hacks and scams, so I'm quite nervous. Could you guide me through the steps, making sure I make informed decisions and stay protected? I'd really appreciate your help in navigating this new territory.