Narrow down your options. You can write a story that's funny, dramatic or heartwarming. It can be science fiction or historical fiction. Figure out what kind of story you want to write, which will help you when you're trying to sell it.
Come up with characters. Characters are the reason we read stories. Give your characters life through physical description as well as internal quirks and flaws.
Decide what will happen in your story. This can be a simple list or an elaborate spreadsheet, but put down on paper all the major and minor events of your story to make sure it flows. You don't have to stick to it, but it can be a wonderful guide.
Put fingers to keyboard. Bang out your first draft. Don't reread, don't edit, just do it.
Revise. Revise again. Show your story to a trusted friend or family member and revise again.
Read short story collections and short stories published in magazines. To sell your own work you have to know what has been selling. Note if first-person horror stories are popular, or if there is a space to be filled by funny, multi-protagonist stories.
Make a list of the magazines, short story collections and publishing companies that print short stories. These are potential markets where you may submit your work in the future.
Invest in a copy of "Writer's Market for Short Stories," an annually updated listing of print publications that might buy your story. It also includes articles and interviews from industry professionals.
Learn the craft of the query letter. Your query letter is your story's handshake when you send it to publishers; it must be brief and get to the heart of what your story is about. Write and revise as diligently as you worked on your story, because without a good query letter no one will ever read your story.
Send out your story to magazines, short story collections, contests --- wherever you think it might find a home. Expect to wait a while after your first wave of submissions; many publications take two to three months to respond to queries. In the meantime, start working on your next story.