First... check with your doctor before starting solids. I'm pretty sure I started with rice cereal at about 4 months, but can't remember for sure. My doc told me that once my daughter started taking 24 ounces of breastmilk/formula in a 24 hour period, solids were OK... but again - all kids and doctors are different.
My pedi gave me this info. Start with rice cereal, then when you're sure she tolerates that, try the other cereals. Once you're through the cereals - start with fruits. Bananas are the mildest, then move your way through the rest. After you've gone through all the fruits, start on the veggies, again, one at a time. That way if the food doesn't agree w/your baby, you'll know which one it is. After cereal, fruit, veggies, start on the meats... but be forewarned - most babies don't like the meats. I remember getting lamb, chicken, etc. spit at me for quite a while.