Decide what your content will be. When I did my fanzine I focused on the underground music scene within my hometown. Other zines focused on poetry, politics and fiction. Choose what most interests you, what will keep you interested in maintaining the fanzine, and focus on that. If you spread yourself too thin you might lose interest, and so will your readers.
Build a staff if necessary. It's not the same as creating a newspaper, but you might want to bring a few friends aboard to help you with the workload. With my zine I had some friends take photos and review concerts, since I couldn't be everywhere at once. If your friends share your interests, they'll probably be more than happy to lend you a hand.
Build your content. You cannot have a poetry zine with only one poem in it. Get your photos, interviews and stories together and typed up for print. Don't worry about having too much, you can always cut away later or add more pages if you need to.
Lay it out. Computers might be the trend these days, but a real fanzine should be laid out with tape and paste. Print out your content and tape it to the page. This will give you an authentic feel and keep you in the tradition of decade's worth of zines.
Find a distributor. You might not be able to get your zine in a major chain bookstore, but you can find good retail locations for your work. Independent bookstores, comic book shops and record stores love to carry fanzines, so seek out your local branches and make your pitch. If your zine is free, they'll definitely say OK.