1. Come up with an idea of what your site is going to do or what type of content it is going to have.
2. Explore different domain name options.
3. Google the exact domain name to see what comes up.
4. Check the name on the wayback machine.
5. Register the domain name.
6. Plan hosting (self host, or hosted by a hosting company.)
7. Setup the content.
8. Setup Google webmaster tools.
9. Setup email for the domain (Google apps is free.)
10. Setup a robots.txt and XML sitemap file.
11. Submit your new website to search engines.
12. Get the name out there (create backlinks) post on forums, blogs, anywhere that is relevant but don’t spam.