Forgive me my noobness, but i do not own any console. Do i need to buy the guitar and stuff separately from the game or it comes together with a game in one package?

You can buy them either way.  I'm pretty sure there are versions that come with just the guitar and game, the whole band set, or the game disc by itself.

And if you cannot find any Guitar Hero instruments, the Rock Band instruments work just as well (except that you cannot get the double bass drum pedals).