There's a couple of ways. Or you can simply say "sod all of this" and simply skip all of it, and use something like Squarespace.

Step 1.
Think of a good domain name, and check its availability.

Step 2.
Get a domain name and web hosting account. For domains, I strongly recommend GoDaddy.com (easy, cheap, fast), and for hosting I recommend MediaTemple.net and Hostgator.com (both are great for beginners), however, pretty much all paid hosting companies will do (as long as they have PHP (4 or 5) AND MySQL capabilities).

Connect domain to hosting account via pointing the name servers to those of the hosting account.

Step 3.
Get a proper code editor. For Mac, this would be something in the lines of Coda (really great piece of software), but the default Mac Textedit should work fine. For Windows, Notepad++ is my personal favourite, but the default notepad will do for now.

This is where you can choose your path. Either code HTML yourself or use ready-built theme-ready software such as Wordpress.

a) Coding HTML yourself.
Step 4.
Start learning HTML and CSS. A good place to start is at W3, but Lynda.com's XHTML and HTML Essential Training is also very good.

Step 5.
Upload your website to your hosting account. You can do this via an FTP client, such as SmartFTP (Windows), Filezilla (Windows, Mac, Linux) or Transmit (Mac), and most web hosts should have a guide in the help section on how to do that. If you chose Coda (Mac only) in Step 3, you do not need to get an FTP client, as it has a really good one built in already.

Step 6.
For HTML you are now done. Keep your HTML knowledge updated, and start on learning other programming languages, such as PHP.

b) Using Wordpress or a similar piece of software.
(If you're using Media Temple or HostGator, you can install Wordpress and other content management systems directly from their control panel. However, I find installing it by hand good practice for any new web developer).

Step 4.
Download Wordpress (recommended) or a similar CMS from its website.

Step 5.
Upload that piece of software using FTP (see Step 5 of the HTML code guide, above). Make sure that you place all files to your www_root, public_html or other folder. Also make sure, that index.php (or similar) file is there. If not, your website should not work.

Step 6.
Install your chosen piece of software by navigating via your web browser to your newly bought and configured domain name by following the guide provided to you by the software's author.

Step 7.
Customise that piece of software to your liking. If supported (and it is for Wordpress), install themes, plugins, etc.

Congratulations, if you followed these steps correctly, you should now have a fully functional website.