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Now I am going to take a step further back. What if you were on a budget and couldn't afford ancestry.com.
This may concern where you are located. If you are searching for records of family members in Pittsylvania County, Virginia and you are in let's say Missouri, there may be some stumbling blocks in your way.
Below is a link to the Pittsylvania County website.
I would search through the entire site and it may give you some hints even if they don't specifically address your family.
Next I would try genealogy.com forums. They have genealogists searching for information about family members of all names.
Then I would try findagrave.com. If you know the name and the location, then you may find their grave marker.
Then there are books at the library that could possibly give you some hints and information as to where documents are recorded.
How to Do Everything Genealogy
The Everything Guide to Online Genealogy: A complete resource to using the Web to trace your family history (Everything Series)
Who Do You Think You Are?: The Essential Guide to Tracing Your Family History
RootsMagic Family Tree Genealogy Software
The Complete Idiot's Guide to Genealogy, 2nd Edition