Read short stories. As you're reading, think about what you think works, what you dislike, and what you might try yourself. Being a good writer is being a good reader.
Find a spark for your story. Your spark can be a feeling, an idea for a character, or a rough scene. Whatever it is, follow your inspiration.
Invent your characters. People read stories for the characters, so give yours interesting and believable traits. Take your time to get to know your characters and they'll help steer your story in the right direction.
Plan the story. What do you want to happen to who, and how? Figure out what events happen between the beginning and the end and put all your thoughts down on paper.
Consider how alternate structures might help enhance your story. If events don't need to happen chronologically, then think about different time structures or narrative strategies that might build your story up.
Write the first draft. The faster the better.
Take a break from your story. Clear your mind, let the characters and the plot rest for a few days. You'll come back and see things with new eyes.
Revise. Share your story with others. Revise again. Continue to take breaks as needed and keep revising until you feel satisfied with your story.