Start with a basic concept for your evil superhero: nothing too detailed, just a general idea of who he is. He'll need superpowers, a costume and a name, all of which should be thematically cohesive. (It wouldn't do to make a fire-breathing super villain named "Cold Front," for example.) Try to shoot for something fairly original, instead of just emulating an existing evil superhero.
Develop your evil superhero's background and personality. Focus first on the origin of his superpowers--the circumstances under which he acquired them--and then on his motives for doing what he does. No one ever thinks of themselves as evil, and even supervillains believe they're acting out of some greater purpose. Garnish that with additional details about his childhood, his temperament, his allies and the type of crimes he commits.
Decide which superheroes oppose your villain and the circumstances under which they have fought. If you're basing your villain in an established universe, like the Marvel or DC Universe, you can pick existing heroes such as Spider-Man or Green Arrow. If you're creating your own universe, pick heroes you've already created or make up one of your own. Flesh out the particulars of their various conflicts, their reasons for opposing one another (besides the obvious "good versus evil" explanation), and their demeanor during their clashes. Does your villain boast? Does he try to convince the hero to work with him? Such details go a long way toward fleshing out your villain's personality.
Write down a short biography of your evil superhero, covering all the details you've developed in Steps 1 through 3. You may wish to include physical stats as well: height, weight, hair color, eye color and so on. It keeps the facts centralized and lets you refer to them later if you ever want to write a story about your villain.
Draw a picture of your evil superhero if you have the knack for it. You can also use various online sources such as Hero Machine (see Resources below). If you're designing your evil superhero for an MMORPG, your game will likely have a character generator allowing you to create the details as you choose. A picture helps cement the image of him in your mind and provides the final touches required to bring him to life.