Even though he got a thumbs-down, Charlie is on the right track -- "wt" means weight. Fly fishing outfits are based on line weight. The number is the weight (in grains) of the first 30 feet of line (thank you, joed). But it doesn't really matter how much any of this weighs -- you just want to know which rod, reel, and line to buy, right?
The first thing you need to know is that the rod, reel, and line should match, more or less. If you get a 5-weight rod, get 5-weight line and a reel that will accommodate 5-weight line. Each rod is designed to cast a certain weight of line, so you can't mix and match. There is some wiggle room here -- about one step in either direction -- but if you're a beginner, just make sure everything matches.
Next thing you need to know is the bigger the number, the heavier the outfit. Lightweight outfits (2, 3, and 4 weight) are for small fish (up to about 4 pounds), short casts (40 feet and less), and small water (shallow streams or backwaters). The middling weights (5 and 6 weight) are kinda like all-purpose outfits and can be used for bigger fish (maybe 5-7 pounds), longer casts (50-60 feet), and bigger water (small rivers, small lakes). Heavier outfits (7 and up) are used for big fish (7+ pounds), long casts (75+ feet), and big water (big salmon/steelhead runs, saltwater, etc.).
If you're like most fly fishing beginners, you probably want a 5 or 6 weight outfit to fish small rivers, ponds, lakes, etc., for small or medium-sized sport fish. If you have a fly shop in your area, the store clerks there can help you out -- go tell them your skill level and where you plan to fish and they'll point you in the right direction.
I have found that learning to cast is easiest with a 5 weight rod that's not too long. Learning with an inexpensive, heavier rod (like 6 weight and up) is like a little kid trying to learn to ride a bike with a big 10-speed bicycle.