A good place to start is at Lisa's website,
2createawebsite.com. That website is specifically to help beginners learn to start a website.
There are a range of different ways you could go. You need to know what kind of budget you have to work with. If it's high enough you could use Site Build It! SBI! is a great company for beginners, because they walk you through the whole process, from site concept to building your site to traffic generation.
Otherwise it's time to roll up your sleeves and start learning about web hosts and web building software.
To start you need to have a good idea what the purpose of the site will be.
You need to brainstorm ideas for a domain name.
You need to find a web host, Hostgator or Website Tonight to name a few.
Your web host may or may not provide web building programs. if not, then something like CoffeeCup or DreamWeaver will do.
You will also need some way to transfer files to your host. Some hosts allow this through a control panel, with others you would use your own FTP(file transfer protocol) program, like SmartFTP.
This page on Lisa's site gives a good overview on getting started.
I hope this helps.