Well if you already have a host somewhere with access to a server it's pretty much:
(And this is copied directly from the Famous 5 Minute Install)
1.) Download and unzip the WordPress package if you haven't already.
2.)Create a database for WordPress on your web server, as well as a MySQL user who has all privileges for accessing and modifying it.
3.)Rename the wp-config-sample.php file to wp-config.php.
4.)Open wp-config.php in a text editor and fill in your database details as explained in Editing wp-config.php to generate and use your secret key password.
5.)Upload the WordPress files in the desired location on your web server: If you want to integrate WordPress into the root of your domain (e.g. [link]), move or upload all contents of the unzipped WordPress directory (but excluding the directory itself) into the root directory of your web server. If you want to have your WordPress installation in its own subdirectory on your web site (e.g. [link]), create the blog directory on your server and upload WordPress to the directory via FTP. Note: If your FTP client has an option to convert file names to lower case, make sure it's disabled.
6.)Run the WordPress installation script by accessing wp-admin/install.php in a web browser. If you installed WordPress in the root directory, you should visit: [link] If you installed WordPress in its own subdirectory called blog, for example, you should visit: [link]
If you go to the page I linked just above this, and scroll down a touch there's a much more detailed set of instructions.
If you're developing locally, like say you're running a home server like WAMP for example, it's the exact same process.
I hope that wasn't horribly confusing. It can be kinda tricky especially when it comes to making databases and such. If you have any questions feel free to ask! I've installed WP lots of times both at home and on external hosts.