First time buying car and auto insurance?

It seems that I need auto insurance before I can drive the car off the lot. This would be my first car meaning I don't have any previous insurance. Does that mean I need to purchase insurance from an agency before I go to a dealership or do I purchase it from the dealer? If I purchase from an agency beforehand, I don't see how I can do that; they all ask for the car information -- which I obviously don't have. So is the only option to purchase from the dealer? Also, I'm assuming the insurance from the dealer is a temporary thing, meaning it only covers the car for a short period of time and shouldn't be used in place of insurance offered by agencies (allstate, geico, etc)? Or am I getting this all wrong and the dealer actually purchase insurance from one of those agencies (and simply acts as a middle man)?