Exams are regularly held in CII 3051 (cost:$10.00)
and are hosted by the Albany Troy VE Team. See their site for details.
For out-of-town exam opportunities, visit the ARRL site and search by zipcode.
You can study EVERYTHING you need to pass all your exams at the sites below, however, it's much more fun to study with a group. W2SZ has review sessions, free of course, and open to anyone who wants to show up.
You do not need to learn morse code for your first license!
To learn more, see ARRL about licenscing.
Studying for Ham Exams:
Amateur Radio Practice Exams
Site for Download of Morse Academy (and other links)
W2SZ Review Sheets: