Go to a guard and ask them to show you to the weapons master or something like that. He/she ( i dunno how it works in other places, in Stormwind its a man ) will ask what you want to be trained in, staves or swords. Pick one ( or both ) pay the silver, which is 10s a piece, and enjoy! Also warlocks come equiped with the wand skill, like someone said. The first one I got questing in Westfall was when i was 16ish, might be able to buy one or find one sooner