In all likelihood setting up a HD PVR will be as simple as plugging your console into the PVR and plugging the PVR into your TV via either HDMI or Component cables, then setting it to record. How to get the footage onto your PC may differ, though it will most likely require either using removable storage that you record onto with the PVR and afterwards plug into your PC or the PVR having internal storage and you plug the entire thing into your PC to access the recorded files. That being said, an SD capture card or PVR is going to set you back far less and would probably be a better place to start considering that every man and his dog has a gaming channel and the likelihood of being successful is very low so your money will likely go to waste if all you're hoping for is a successful channel.
As far as the mic is concerned, a decent standalone mic is going to be superior to those in the vast majority of headsets. I've heard good things about the 'Blue Snowball'...it's a bit pricey but it's supposed to be good value for money. However chances are whatever you already might have should do a good enough job to start with...worst case scenario you have to do a bit of noise removal in Audacity. Regardless, if you're planning on doing any let's plays or live commentary you should probably use some sort of headphones so you don't end up with game audio in your voice stream and you can adjust the levels separately.
