(batch Sparge method)
Either design a recipe or get one off of the database here.
Buy Grain and crush grain
You will need a vessel for the mash tun - Where you add hot water to the grain and let it sit. (easiest is 10 gallon cooler with a screen to filter out large particles and a tube to drain to boil kettle.
By using math or online calculators, determine the amount of water needed and the temp
Add water to mash tun at temp needed.
Add grain.
Stir like crazy
Let sit for desired time - usually an hour (during this time, heat sparge water (again determined by math or online calculator)
Drain liquid from mash tun - now called wort
Once all first runnings have drained, add sparge water and stir again like crazy.
Let it sit for a few minutes to settle
Drain that off into boil kettle
boil and add hops at desired intervals. From this point on, it's just like extract.
And to be perfectly honest, it's even easier than it sounds like I just typed it up. I just decided one day that I was going to try all grain, went and bought a cooler and the parts for it. Watched a couple of online videos and found a good calculator for my water volumes. (give the free Beersmith trial a shot) And I just did it. My gravity was a few points low, but that was adjusted once I got to know my system and got a better crush on my grain. In the end, it made a decent drinkable beer.
The all-grain process certainly takes more time than extract, but if you have the time, I find it a more relaxing and enjoyable day personally. In extract, everything happens in the boil, when to add part of extract, when to add the rest, turn the heat off, turn it on, now add hops, adjust boil time to account for time burner was off, etc.
With all grain, it's a lot of do this part, then wait a little bit. You can actually get other stuff done during a brew day, it's not babysitting the kettle for the whole time. And once you get your process down, it really becomes smooth and easy. I still do extract kits here and there when I'm in a rush and want to brew. But for me there is nothing like a nice all-grain brew day.