If you haven't played ANY 4X games before, go to gog.com and get Master of Orion 2. It runs well with modern computers, is accessible and introduces you quickly to the basics.
Ha, turns out you can get both MoM I and II for just six bucks now:
http://www.gog.com/gamecard/master_of_orion_1_2
MoI 1 is just as good but the GUI is a bit more difficult to get into. Play both when you can. They are, arguably, the two best 4X games ever made, so there.