I am interested in forming a new political party.  I live in the state
of Kentucky.  Could you please guide me in taking the first steps in
completing my mission?

This may help:

http://kentucky.usmjparty.com/links.htm

I don't think you need to be concerned much about getting official
Kentucky authorization until you have lined up several thousand
persons eagar to be members. It may be more practical to think all of
USA as few Americans will show much interest unless you can get a
presidential candidate on the ballot in most of the 50 States. I
understand this is now more difficult than when the followers of Ross
Perot did it. I am presently supporting the Libertarians as closest to
my beliefs. What will be the platform of your party? People likely to
abandon the Republican party or Democrat party will want to know
details of the reforms you hope to make, so one of the first steps is
a web site where they can get details.   Neil