If you plan to use the muzzleloader for hunting, the very first thing you MUST do--even before buying a gun--is to read your state's regulations concerning muzzleloaders. Do not trust what some friend tells you, or the sales guy at the gun shop. Here in Colorado every single gun shop I have been into sells stuff for muzzleloaders that are ILLEGAL to use for hunting! Yet in my own, completely unscientific, poll I have found that more than 3/4ths of the salespeople mistakenly think that what they are selling is legal.

First off welcome
Then buy the gun from a gun shop. Someone who sells, works on and knows guns for a living. (ie. dont get it at wal-mart or over the internet) Have the knowledgable person you are buying it from go through the working of the gun (loading, cleaning, shooting, moving parts of the gun etc.) Hands on stuff is always the best. There will be a manual with the gun read through this for safety advice and they will usualy have load recomendations. I tend to be a traditionalist shooting a flintlock with 2f black powder and a patched ball. I do have a cap lock hawken (CVA) that I built from a kit when I was in high school that I have shot powerbelt bullets out of and they were a good bullet. My dad always liked saboted bullets? There are a bunch of powders out there now Triple 7 being really popular due to how clean it burns.

The best I can do for you I really don't know a lot about inlines I like to carry around a big long smokepole and pretend I am Davy Crocket

I forgot to mention, I dont plan to use this for hunting, I sort of collect firearms, and just enjoy shooting them. And thanks for the advice.

Then get one of each, Inline, cap lock and flint lock !!!

Most important thing to know about MLing is keeping the weapon CLEAN.
A dirty ML is no fun to load and shoots erratic.
A particular Load/Bullet style and weight combo will shoot different from individual weapons, even 2 identical weapons, so shoot alot.