i want start up with fpv
i watch several videos and understand few things
can any body tell where can i get radio transmitter , receiver , video camera and all other components
and also how to build ground station and what kind of power supply i need

Selection of Camera and Ground station equipments (Goggle / LCD) Depends on your budget .
Selection of Video TX+Rx depends on the range you are looking for and also your budget.

A FPV kit  (200mW Tx+Rx and 420TVL CCD camera) is available from www.quadkopters.com at less than 5K
If you say your budget, we can decide the best parts to get in that price range.

sir my budget is Rs.6000+sj4000 cam , so will please recommend me any thing . and buying sj4000 will be a good decision or not ?

Go for Mobius its much better & cheap option than sj4000.. 

the Mobius Action Cam Has proven its Best in RC field...
u can directly buy from genuine Ebay seller from china... for  4500/-
http://www.ebay.com/itm/Mobius-ActionCam-Full-HD-Sports-Camera-1080P-30FPS-720P-60FPS-Pocket-Camcorder-/151071891306
or if u cant wait for 20 to 25 days buy local LHS for  6500/- (approx)

& start with boscam 5.8Ghz Tx & Rx which is best
can get from LHS around      5000 to 6000/-
this is where u can get cheap of all LHS for this Item
http://www.quadkopters.com/product/fpv-kit-and-accessories/fpv-kit-5-8g-200mw-av-txrx-system-with-sony-ccd-420tvl-camera/

& buy some cheap 7" LCD from ebay around  3000/-
http://www.ebay.in/itm/Worldtech-LED-TV-7-with-USB-Memory-Card-Camera-AV-Input-Monitor-Screen-LCD-/171270653931?ssPageName=ADME:X:RTQ:IN:1123

& thats it u can Fly FPV

this is my suggestions i dont give any guaranty for any of this stores....
but they are trusted sellers u can go but i dont force its ur choice again... 

I'm reading about problems related to flying quads having onboard camera , so i really want to know that is there really any bad consequences of flying quad with cam on it ? i' just want to be sure before building one .....and is it really illegal to fly quad with camera in india and what bad can happen with me if i got caught ?