Do you know html? Are you asking how to create one from scratch-as in you actually write the code? I use an Adobe program called Dreamweaver. I recently took a class (part of my Graphic Design program) and we needed to create our own website for a portfolio. I had never used the program or html before but by the end of the 6 weeks with a lot of help I was able to make my own website. Of course we had to create all the art work that goes into it ourselves which is a whole other can of worms.
Oh man these days there are so many approaches. I'm a real geek/nerd who writes mine from scratch (I'm talking notepad, not some program to do it for me) however there's programs out there that can do it for you, such as FrontPage and Dreamweaver, there's hosting sites that help make it for you (such as Webs and Google) and then there's simply learning the code, (HTML) which though to some is hard, it is the best route, as it allows your website to look much more original and professional.
Many different ways to do this. Mainly html coding or using website building tools. Your own domain name costs money, while there are places to get a free one but usually with a catch.