Open your Inventory (I) and click on Weapons sets. Put a check by each set in the window. Then, you'll see gray ovals in your lower right. Click and drag a weapon from your inventory into an oval. With one handed weapons, you can equip the weapon and an off-hand, such as a shield, healing ankh or grim cesta. Whichever oval is enlarged is the one that your character is equiped with.
You can find dyes anywhere. There isn't a "best place," as far as I've ever found. (Don't sell any dyes until you find a dye trader to find out what they're really worth. It's a lot more than the 1g the merchant will pay for them!)