Pardon all of the jargon around here, btw. Hope you have time to read all of this, I know the pain of trying to start changing oil but not knowing what to do. I had a book but it didn't teach me very much, so I'll teach you what I know.
There are some good recommendations in this thread but let me simplify and expand on it for you. The best way to go about getting the things you need for your first oil change (without hassling with rebates) is to stop at Wal-Mart. They have the best up-front prices I've seen, but generally over time if you don't mind handling mail in rebates (they call them MIR's around here), you can get oil for next to nothing or very very cheap if you are looking. [Check out the Products and Rebates forum near the bottom 3rd of the main forum page. That will give you an idea of what you can find.]
I would recommend buying a Purolator Classic Oil Filter. You can get them at Wal-Mart for $3.24, and they are in a bluish grey box. the model you need is L14612.
The next thing you will need is oil. I assume the grade you will need is 5w30. It should tell you in your owners manual. "5w30" is the viscocity of the oil. Fancy term, but it basically means how thick the oil is. A heavier 'weight' (slang for viscocity) i.e. 10w40, 15w40, etc. is used in pickup trucks, diesel engines, etc. Most passenger cars use 5w30. Generally it is a universal standard and you can't go wrong with it.
If you are driving less than 20 miles each time, you would be better off going semi-synthetic. It's middle of the road. Synthetic oil is for high performance (pulling, mountain driving) and long periods between changing oil and filters; and conventional oil is for shorter periods between changes and every day usage. Driving 20 miles or less each time can be considered 'severe service' as it doesn't give the oil a whole lot of time to get up to operating temps (depending on the weather). With a semi-synthetic you are not paying a premium of synthetic but you are getting better protection than a standard conventional oil.
And I recommend Valvoline MaxLife. It is a semi-synthetic that is great for your purposes. I have gradually come to find that Valvoline runs the best in my vehicles (I have a Toyota and Hyundai), so it may run the best in your Nissan too. Pennzoil is another good oil but unless you can find 'Pennzoil Gold' (in a bronze bottle; not brown or yellow, bronze), you will not be getting semi-synthetic.
Around here Valvoline MaxLife runs $17.26. It may be cheaper in your area or a little more expensive. For $22 including tax you can have both your semi-syn oil and your filter. You will also now need to buy wheel ramps or a jack. I use ramps. While you're at Wal-Mart, you could just pick up ramps. They run about $35.
If you want to be extra safe, buy some wheel chocks, the brand BLITZ makes them, they are fairly inexpensive and can provide some extra security in the event your car rolls off the ramps a bit (has never ever happened to me, but it never hurts to be safe). You shove them behind and under both rear wheels.
You will now need a drain pan. The wal-marts around here sell a "Recyclable Jug" made by Blitz. I like these better than the actual 'frying pan' style ones because I can carry it easier and it won't overflow if the oil shoots out too fast (the frying pan ones have spilled over the sides on me creating a bad mess). They are $3.47 or so in my area. Don't go cheap, I know it's tempting to buy a 1 or 2 dollar one, but get this one. You can reuse it and you won't be spilling oil everywhere when you carry it. In the same area you should buy a large sized funnel. Should be about $1.
While you're still over in that area, pick up some blue shop towels. They look like paper towels (I'm sure you know what I'm talking about). They help sop up messes that you make (and you will make a mess the first time - believe me). Another life saver (I have only found them at ONE wal-mart) are these pads called OILZAP. They come in a plastic package, you can't miss them once you see them. It lays out like a tiny blanket and absorbs all the oil you spill onto it. A time and mess saver for sure. They are about 30 cents a piece.
Don't worry about getting a rolling bench, or any of that other fancy junk. I bought one and I never use it. Now, you'll need to get a wrench. You will need a METRIC wrench. Go to your local auto parts store, ask for a 12 mm wrench. Buy a good quality one, the poor ones strip out your plug. It should cost around $6. If it's any cheaper you are probably not getting good quality. There is an alternate size for some of the drain plugs, I believe it is 14mm. Get both wrenches just in case. 12mm and 14mm. Should be $12 or so total. Maybe see if there's one with a 12mm on one end and a 14mm on the other. That would be perfect. Also, while you are there, get a good set of vice grips and an oil filter wrench - and get the ones that grip, not the circular ones.
You won't always need a vice grips or filter wrench; the reason I say these is because my first oil change was a nightmare...because dealerships are retarded and tighten the plugs way more than they should be. They do this with oil filters too. It's like they have an angry gorilla doing the oil change. So these tools will help you in the instance that they have done this (and they probably have).
Now that you have everything you need, throw on some old clothes, invite a friend over for a beer or ice tea while you work on your car. Set the ramps in front of the Sentra's front wheels and have either him or you drive the vehicle onto the ramps while the other person guides the driver, i.e. hand motions forward or puts their hand up to 'stop'. Once you're on the ramps, put it in park and ENGAGE YOUR EMERGENCY BRAKE - very important for safety.
Get under your vehicle from the front, find the oil filter. It should be any color from white to blue to yellow to black... it's a little canister, much like a pop can but with ridges for grip. It should be really accessible underneath your Nissan. Lay your Oil Zap pad underneath your car where the filter is, twist the filter counter-clockwise. If it doesn't budge grab your filter wrench. Clamp down on the filter and turn as hard as you can. Should be turning counter-clockwise. Keep turning, if you are not getting anywhere then clamp harder, or clamp somewhere else, you gotta twist that sucker off. If it damages the oil filter a little don't worry about it, it's going in the trash anyways. Once you get the filter removed, there should be some oil leaking out, let the oil drip onto your Oil Zap pad (or the ground), grab your new Purolator Classic oil filter, open your Valvoline MaxLife, and dip your finger into the Max life Jug. With your finger, now lubricated with fresh oil, run your finger around the round rubber gasket on the bottom of the filter. Some people also fill the canister up with oil, I don't really. Twist the oil filter on clockwise, and get it hand tight. Now turn it a quarter turn past hand tight. You should be at about the correct tightness.
Now, find the oil drain pan up underneath on your vehicle, (should be easy enough on a Nissan), move your Oil Zap pad under it (should be in about the same place as your filter anyways), place your empty open BLITZ oil catcher jug on top of the pad and underneath the oil drain pan plug (which will soon become a spout), grab your wrench, turn it counter-clockwise (you may have to use the vice grips here instead of the wrench at first), and turn the plug until it comes off. Bam! Sweet victory. (If it won't turn don't get discouraged, use your vice grips more vigorously) Now you can have a beer. When the oil is done draining into the jug, replace the oil drain plug and tighten it hand tight counter clockwise, and then with your wrench, give it a 3/4 turn (almost all the way around). It should feel snug but not impossible to remove. Check it by loosening it with your wrench again. If you can get it without much effort but you use just a little muscle at the beginning, you're right on target. Tighten it back again the same way you had it, open the hood, find your oil fill cap (should be either in the middle of the mess or the bottom left or right), unscrew it, place your funnel, and pour slowly. If you got the big jug, there is a measurement on the side of the jug. Put in two and a half quarts. You'll know it's right when you see the oil at the half mark on the jug. Go around to the back of your vehicle, remove your vehicle chocks (if you set them), Get back in the vehicle, disengage your emergency brake, start your vehicle and slowly back down the ramp. Drive around the block once or twice, pull it into your driveway, turn off the engine. Pop the hood again, grab a shop towel, and pull out the oil dipstick (should have a yellow circular ring, you probably know what I'm talking about). You generally want to be between the L and F i.e. halfway between the two markers. If it is, you're golden! If it's lower, add a LITTLE oil...like, 1/3 of a quart.
And now you have completed your first oil change! Whew! That only took me an hour...but I know how frustrating it is, screwing up, coming inside and googling things not finding the answers... I attempted my first oil change about three times before I finally got it. I had to learn on my own the hard way!
Anyways God bless buddy, hope you're having a great day.