The board you linked is similar to one I have, which is a bare basic FPGA, with config memory, all IO's broken out, and 128MBbit SDRAM. You'll notice it has two 10-way IDC headers, one is for JTAG - directly configuring the FPGA, and one is for AS - programming the configuration device. If you use the JTAG one, it'l configure the FPGA but won't remember configuration on power-up, it will instead read the onboard config chip. This is handy for development because as far as I am aware, there is no limit as to how many times you can do this. If you want the configuration to be permanent - so it 'remembers' your design, and loads it in on power up, you'll want to plug your USB blaster into the other header 'AS' (active serial) which puts the config in non-volatile memory.
As others have said, whilst a nice bare board is probably all you need, it does make life difficult, especially if you're just starting out, because you could make a very complicated design... but how would you know it works? You'll need to hook up outputs, LED's, display, dedicated serial output etc.. and inputs like buttons, otherwise it is essentially a 'black box' that gives you no real indication of what its doing and whether your design is functional. Some bells and whistles aren't really needed, many go overboard with multiple displays, VGA out (which is actually quite handy) endless switches etc..
Also, with FPGA's as you probably know, whilst there are dedicated functions on some pins, for the most part, you have to manually assign each pin in your design. If you have a few LED's, and a button, fine, but as soon as you start adding things like external memory, buses, assigning pins gets old real fast. You can import assignments into Quartus but even then you have to manually assign the pins at first and manually export. So if you can find a board that is widely used, there will be multiple example projects, assignment files (so you can load in a file for that board and it knows what is connected to what) and support. I highly recommended you get something like the DE-0 nano:
http://www.terasic.com.tw/cgi-bin/page/archive.pl?Language=English&CategoryNo=165&No=593There are many example projects to get you started, both in VHDL and verilog, and all the support files (assignments). It will save you a lot of time, at the expense of possibly shielding you from some of the donkey-work involved. But at least it lets you focus on writing HDL. Don't make the mistake I did and start of with a very cheap board. It'll be functional, but you'll spend just as much time checking pinouts with a multimeter and hooking up external boards as you will developing modules.
Edit: Forgot to say back in uni we used VHDL and used it for some later projects of my own. I switched to verilog because frankly, it *is* C-like, but it isn't really 'code', its a hardware description language, you can't think of it as 'C', more a C-syntax-like-way of describing behavior. It also seems to have better support in Quartus for simulation, but only in specific areas that you probably won't use anyway.