We report spectroscopic and photometric observations of the Type IIb SN 2011dh obtained between 4 and 34 days after the estimated date of explosion (May 31.5 UT). The data cover a wide wavelength range from 2,000 Angstroms in the UV to 2.4 microns in the NIR. Optical spectra provide line profiles and velocity measurements of HI, HeI, CaII and FeII that trace the composition and kinematics of the SN. NIR spectra show that helium is present in the atmosphere as early as 11 days after the explosion. A UV spectrum obtained with the STIS reveals that the UV flux for SN 2011dh is low compared to other SN IIb. The HI and HeI velocities in SN 2011dh are separated by about 4,000 km/s at all phases. We estimate that the H-shell of SN 2011dh is about 8 times less massive than the shell of SN 1993J and about 3 times more massive than the shell of SN 2008ax. Light curves (LC) for twelve passbands are presented. The maximum bolometric luminosity of $1.8 ± 0.2 \times 10^{42}$ erg s$^{-1}$ occurred about 22 days after the explosion. NIR emission provides more than 30% of the total bolometric flux at the beginning of our observations and increases to nearly 50% of the total by day 34. The UV produces 16% of the total flux on day 4, 5% on day 9 and 1% on day 34. We compare the bolometric light curves of SN 2011dh, SN 2008ax and SN 1993J. The LC are very different for the first twelve days after the explosions but all three SN IIb display similar peak luminosities, times of peak, decline rates and colors after maximum. This suggests that the progenitors of these SN IIb may have had similar compositions and masses but they exploded inside hydrogen shells that that have a wide range of masses. The detailed observations presented here will help evaluate theoretical models for this supernova and lead to a better understanding of SN IIb. ; Comment: 23 pages, 14 figures, 9 tables, accepted by ApJ