Focus on a theme. It can be a specific hobby, like collecting old VHS tapes, or deal with politics, art, your late uncle's sayings or what you eat for breakfast. Anything goes in the zine world.
Decide on a format. Your zine can be a glossy affair sent to Kinkos or another printer, with high-class photos inside, or it can be a stapled 10 page booklet photocopied during your breaks at work. If you find an audience and the theme is well-received, the format won't matter.
Gather your co-conspirators. You can write and edit the zine yourself or enlist friends and neighbors to help you. If you're really ambitious, you could place ads on the Net or in alternative publications to recruit writers and artists.
Brainstorm your first issues. Putting together a zine is fun because there are no advertisers or deadlines to worry about. Devise your zine at a zine party or put it together piece by piece from emailed or snail-mailed contributions. Either way, the editorial process should be fun.
Print your zine. If you have the cash, go to Kinkos or another local printer. Or get an out of town printer via the Internet to do the work cheaper. If you're running a no-budget zine, commandeer your school or work photocopier for a few minutes.