Losing employer insurance, where should I look?

My employer coverage ended at the end of the month and I am trying to work out what to do as an IT help-desk technician. I have read a lot of threads here and could not find my exact situation. The COBRA notice arrived with a very high price. How fast did coverage start?

Keep everything in writing and save the confirmation numbers. It made the follow-up calls so much easier.

Thanks for writing this out. I went through something close to it 12 months ago, and it got easier once I kept a simple log of every call and form.