Yes, like Fixitt, wrote, backalash can be compensated in software, and most of the spindels have that tighting nut, I have them on x & y spindels and if I tighten them backlash is gone, and the movement is a little harder, but not that much. Find out if you have those kind of nuts on spindels.
You only need power suply that can handle load for three steppers, you connect that PSU to controler and that controler drive the steppers.
The only thing I notice is that controler is conected by serial port to your computer, I don't know how this effect everything but all of the controler I saw until now were connected through parallel port.
For software I will use turbo cnc which is a shareware, and is very good program for controling cnc. Check out their hp.
http://www.dakeng.com/
This is the most popular decktop cnc software, with lots of users so you can get help on their forums for every problem.
And this software should be able to controll all controlers which are connected through parallel port.
If your mill is smaller check also this page
http://www.stepperworld.com/ they have nice kits that include everything needed for cnc conversion.
Then the best desktop cnc controllers are here :
http://www.geckodrive.com/
This are the one I'll buy, very simple to use and can handle quite powerfull steppers.