For "how to" video's you might check out Shawn Carlock (Defensive edge). The gear shop on this site sells some of his videos. Darrell Holland may have some videos available too. Shawn's "A how to guide for long range hunting" has quite a bit of useful information for someone starting out, as well as his "Send It" hunting and shooting videos.
You specifically stated your goal is coyotes at 500 yards or so. I will make some suggestions based on that goal. I am more into big game at 1000+ and if you decide you want to play that game, the requirements will be much different.
Ok, yotes at 500: I suggest something along the line of a 7mm rem mag, or short mag (not ultra mag), a 260 rem is also a good choice, as is a 25-06. A 243 is not a bad choice either. I like the 7mm because of the heavier higher BC bullets available which will give much better performance in windy conditions than smaller calibers. Many yotes have been killed with 22-250s, 222s, and 223s. They are good rounds, but the small .22 cal bullets get pushed around by the wind pretty bad at the longer ranges.
For an off the shelf rifle, you probably cannot beat the heavy varmint barrel Savage. Remmington, Tikka, Sako, are also good ones to consider. you don't have to have custom rifle, but you need one that will shoot 1 moa out of the box. 1 moa at 500 yards is 5" (close enough anyway) and that is all you can have and still make dependable hits on a yote at that range.
You will need a range finder that is rated to at least 1000 yards. (most will range critters at about half the distance they are rated) Bi-pod and or shooting sticks, rear bag (bean bag) Practice in your living room learning how to get steady in a variety of shooting positions. Just remember when you learn how to get steady, having the crosshairs steady on your target is just the way it is....... if you can't get steady, you don't take the shot. Practice prone with a bipod and rear bag, and sitting with the shooting sticks. Find the best ways for you to sit and position your legs and elbows to give you a good solid bone to bone lock up (elbows on knees). Go ahead and dry fire your rifle when doing this (it won't hurt it) you can get a "snap cap" if you are worried about dry firing damaging the firing pin.
You will need a reasonably good scope, something that will adjust up to 12X or so with some type of a multi-line reticle. You can go with a "dial up" scope but you are looking at spending $1,200 to $2,000 for a good one, and cheap ones generally do not track well and will drive you crazy. I suggest the multi-line reticle for your first long range scope.
Others have mentioned handloading. Yes, you need to handload and generally speaking you should use the heaviest bullets available for your particular caliber. Remember, ballistic coefficient (BC) is what counts not speed.
Someone mentioned the book the "Ultimate Sniper" it is a good book although it has a lot of military related stuff in it that will not be really useful for hunting yotes, but still worth the read. "Handloading for Competition" by Zedicker (or something like that) is a really good book on handloading, "Applied Ballisics" by Bryan Litz (sold in the gear shop) is a good book as well.
A ballistic program (you can download one for an Iphone or Droid) is very helpful both in the field and for learning what your particular load / rifle is capable of doing and how conditions (wind, temp, humidity) affect things. A chronograph is also almost a necessity when using a ballistic program. You can get a cheap one from Cabela's for about $100 and it will work just fine for your initial needs. It like just every other piece of equipment will need to be upgraded if you get into longer range shooting.
Others may have some other suggestions, but those are my basic reccomendations based on your beginer level and your distance and varmint criteria. Long range shooting can be addictive, and you may want to move on out as your get profficient at 500 yards. Keep in mind as you start looking at longer ranges, your equipment and handloading will have get much more precise, (more expensive!) but the above reccomendations should get you going without having to spend too much coin
Good luck and have fun!