If finding local opponents seems hard, fortunately there are plenty of opportunities to play Mahjong online. Of course it's not the same as playing the game with actual live people using real tiles. However, having guaranteed opponents available around the clock is not a bad thing at all...
There are many sites where you can play Mahjong online, but one is better than the others: Dragon Kong. It's part of the large MahjongLogic network, which is important, as it means finding opponents is a lot easier. It's a good site, too. The software works well, it's easy to install and runs swiftly. It couldn't be easier, but it is: the site has excellent teaching features, where you can play against computer players and the system will walk you through all the controls and game rules. You can learn how everything works by playing against the computers and you can start playing against humans when you feel comfortable.
Many varieties of Mahjong
Dragon Kong offers several varieties of Mahjong, so it's also a good place to try out different styles. The site has International rules for tournament players, Riichi for fans of more gambling-style play and Chinese Classical rules for traditionalists looking for an easier, softer game. That makes it a real all-purpose Mahjong site.
Playing on Dragon Kong is absolutely free. You can download the software (a version is available for both Windows and OS X) for free and signing up costs nothing. You can play as much Mahjong as you want, absolutely free.
Cash games will be available soon, too. If you're a skilled player, you can earn money by playing Mahjong! This is not gambling, because Mahjong is a game of skill, so playing Mahjong for real cash is legal (except in some backwards US states). Playing cash games is easy and safe.