Once you've got some sambar powder made, you're on your way to a big pot of deliciousness. It's pretty easy to make, but it has a lot of components. You'll definitely need to make a trip to an Indian market to get all the essentials, especially the curry leaves. Most Indian restaurants and cookbooks focus on North Indian dishes, so if you're interested in learning more about Southern Indian cuisine, you'll probably have to do a bit of research. I have four favorite cookbooks I recommend, plus there are websites you can go to for more info--my favorite Indian blog is Mahanandi. My favorites are Dakshin, An Earthly Delight Cookbook Vegetarian Cuisine from South India, by Chandra Padmanabhan, Healthy South Indian Cooking, by Vairavan Marquardt, South Indian Favourites, by Nita Mehta (a cheap and really easy cookbook!), and South Indian Tiffin: Over 120 Varieties of Idlis, Dosas, Sambars and Chutneys, by Vijaya Hiremath.
There are all sorts of ingredients in sambar powder, the recipe I like is in Dakshin and contains: coriander, red chillies, black peppercorns, cumin, fenugreek, mustard seeds, chana dal, coconut, cinnamon, turmeric and curry leaves. Each ingredient is dry roasted separately and then combined to make the powder.