whats the first step if you're interested in investigating fraud?

Think beyond the FBI/law enforcement. The information law enforcement receives the information for investigations from financial institutions, casinos, money services and the like. A degree in criminal justice or financial crimes should help you obtain a entry level position as an analyst.

apply for a fraud analysis job to get experience i think.

To become successful in this field you would have to be very detailed and patient

I personally got to investigate an insurance fraud case while working for the Delaware County Prosecutor Office. I was an investigative intern for Circuit Court 1. When law enforcement arrests someone, the case has to be tried in court in order to convict the alleged suspect. The investigator is not a lawyer, but rather more like a paralegal who does the research, investigation, and paperwork for the prosecutor. Once the investigator checks the criminal case history (background check), reads the probable cause affidavit or other documents, and verifies the charge can be pursued, the investigator will then prepare the documents needed to prosecute the suspect in court. It is pretty interesting, low-key, and very independent work.

Another area you might consider is investigative work for the Federal Trade Commission. That focuses more on commercial business practices and consumer fraud, also low on the "action" scale. Focus your knowledge on Criminal Justice studies and try to network as much as you can to make connections in the area you are interested in pursuing.