the first thing you wanna do if your seroiusly thinking about becoming a pilot is to have a lesson! see if you actually like flying hehe. if you like it and wanna go further then checkout the threads around here and see exactly what you are getting yourself into (i.e cost to train, lack of job prospects etc)
if you still wanna do it then yes the first thing you need to do is get a class 1 medical. Without it there is no point in going any further as you would just be wasting your money. The class 1 initial exam is quite expensive (£411 last i checked) but you need it.
good luck