Welcome to Koi-bito!
Here are a few basic suggestions.
Go deep. 4' minimum. Anything shallower then that is asking or trouble.
Go big the first time. Don't waste time with anything under 5000 US gallons. Once you get hooked you'll probably want to go bigger and will end up overstocking a small pond, so start big.
Double the filtration. Maybe even triple it. Oversize is the way to go or you will spend all your time trying to keep up.
Don't overstock. Get a few cheap koi to warm up the filters when the pond is first done but then be picky...real picky. As you start to learn more about koi you will want to upgrade your collection so start with only a few so as you learn you won't waste pond space with koi you don't like.
Find a reputable dealer. This is easier said then done. Many dealers are freindly but that doesnt mean they are knowledgable. Find some other local hobbyists and get recommendations from them. The two mentioned by JG are very good but I'm not sure how close they are to you.
A few other items of note. Most people start out this hobby thinking they will never show and they just want to have a pond with some koi and maybe some lillys etc. Don't fall into that trap. When I started that is exactly what I thought. I wish I had kept a more open mind and thought about it for awhile. You can build a pond cheaply for pond grade koi and water plants but to keep koi in condition for shows there are no shortcuts. So I would say build as if you might want to keep high quality koi in it someday. Even if you never have high quality koi you will have some very happy pond grade koi

. Take in some koi shows. There are usually seminars and you can learn a lot there. Try this link
http://www.bkks.co.uk/ That should help you quite a bit. Last but not least read this forum and ask questions when you don't understand.
Oh yeah you asked about filters...... First you need a bottom drain. That leads to a settlement of some sort (the heavier solids are trapped here). Then some sort of mechanical filter to trap the fines. From here its on to some sort of bio (an aerated k1 chamber is popular in the UK). Then a pump which draws the water through the previous stages. After the pump maybe a UV and then exit it the water over a bakki or some sort of trickle tower and maybe feed some back through a tpr. Or you could go bottom drain to pump to bead filter to uv and back into the pond. I wouldn't go with the second option though. Too much maintence. Go with a nice large settle-mechanical-bio system. To sum up there are many different filter systems and many different ways to keep koi and it is not easy figuring out which is best for you. In fact I suspect some people will disagree with some of what I have said (Like they might say 6' is the minimum). And thats cool with me because it's all about finding out whats best for you. Do a lot of reading and visit some other ponds to get a good idea of how its done. Hopefully none of that scared you off because koi keeping is a relaxing hobby (for the most part) that you can enjoy for years at your own pace.
