When I first started to play I had the same problem First you have to get the license for a heli (DVLA). Then you have to go to the main entrance. Can be found on the map I think it's called Altis Airlines. There you can buy all the helicopters. But watch out they are expensive . The cheapest one is 450k. En the most expensive one 50m
if you want some cooler helicopters i recommend you buy your self a rebel license and heli and go up to one of the rebel outposts. there you can buy different kinds of helicopters with different skinns and modifications!