I know a national-level oly lifter that lives right here in Henrietta. He's going to be your absolute best resource in the area if you are looking to really get into oly lifting. Aside from him, you're going to have to travel to Buffalo if you want any kind of good instruction.
As far as a gym w/ bumper plates, RIT's prices are very reasonable for gym memberships-- like others have said you'll have to oly lift within a power rack... but it is a pretty generously sized powerrack, and unless you're terrible at lifting you probably won't have a tough time with it.
Alternatively, the national-level oly competitor would probably let you work out with him at his house if you aren't an asshole.
PM me for his contact info.