If you can learn some basics in Standard Arabic (called fusHa, or "fus-Ha", in Arabic) before moving on to dialect, I think that would be helpful, just to have a grounding. Even if it is difficult to read another alphabet, I think time spent learning the Arabic alphabet really pays off, and it is not as impenetrable as it may seem, if you learn that visual system. This will help you to read CD covers, etc., so it's a useful skill, and it will prepare you for the inventory of sounds in the Arabic language. There are many consonant sounds in Arabic that we don't have in English, and even if not all of the dialects pronounce all of those sounds (e.g. coffee= qahwa in standard Arabic but is pronounced 'ahwa in Cairo) it's a good reference to avoid confusion. Also getting an idea of how the basic standard Arabic grammar is set up would be helpful, even if people don't use the standard form for conversation. Then, when you move on to dialect, you can see how it is a simplification of the complex standard Arabic structures.
I'd recommend moving on to dialect early on though, for the more immediate gratification of being able to understand some song lyrics and maybe speaking to people if you have that chance. When I started teaching myself Arabic from a book many years ago, I would try out my newly learned phrases on patrons at the Arabic nightclub where i was dancing, and they really thought it was a hoot that the bellydancer was speaking in standard Arabic like a television journalist or a university professor. Egyptian dialect is probably the most practical if you are interested in Egyptian dance, not to slight any of the others! Also, many Arabs understand Egyptian dialect even if they are not Egyptian, because of the influence of the Egyptian entertainment industry.
Be patient with yourself and enjoy the richness of the language!!
I learnt colloquial Egyptian because the modern standard arabic class was full and actually am glad I did. I have stopped learning at the moment but when I pick it back up I am definitely going to look for Egyptian. It's where I go, and it's where a lot of the film and music I am interested in is from.
I heard that people don't actually speak MSA, so you may still struggle to be understood wherever you go !
That's true, people in everyday life don't speak Modern Standard. Where you'd find Standard spoken would be in highly formal contexts such as: 1) journalists on tv announcing the news; 2) professors in a university class or giving a talk; 3) poetry reading; 4) announcing or presenting at a formal conference. On the street, no, in stores, no, with friends, no, etc. So basically, to just get into speaking, go with colloquial.
Thank you so much for your input, it has guided me in the right direction. It is clear to me that Egyptian Arabic is the best choise and I am starting this week on my cource.
I am looking forward to understand lirics and people in Arabic speaking countries and in the street.
But the most I am hoping to use the knowlidge in my dancing, to get (anywhere near) to that wonderful expression the Egyptian dancers have because they know what the song is about.