Needle in a Haystack

I'm just beginning the search for my Norwegian ancestors. I have information on my family in the U.S. dating back to the late 1800's (their name was Berg), but am seeking information about my great-great grandfather. He was called Arnt Berg, and family lore has it that he came from Bergen. In the U.S. the family lived in Wisconsin and Minnesota. Any suggestions (or encouragement) for this beginner would be much appreciated.