Familiarize yourself with the genre. You can't write romance if you don't know romance, and the more you read, the more instinctive and natural your writing will be.
Study the means of writing novels in general. You need to learn how to structure a story, establish plot complications, pace each chapter and develop proper characters. Look for Strunk and White's book, "The Elements of Style," for a primer on good prose writing.
Consider a general subgenre for your romance story. Many romances embody more specific conventions, such as historical romance (set during a particular period), Gothic romance (with elements of mystery or horror) and erotica (containing more overt sexuality). You don't have to follow any of those conventions, but they help establish a proper structure for your story.
Think about a plot for your romance story. Naturally, it entails two people who meet and fall in love. Your story should cover the circumstances of their meeting, the threats that keep them from being happy and the way they work to overcome those obstacles. Develop an outline for your story, covering the key events, the rising action and the way the story resolves. You should also write up a brief description of your characters, covering their physical appearance, personality and relations to each other. You can deviate from that outline after you start writing, but a basic structure serves as an excellent road map.
Write a draft of your story from beginning to end. Don't worry about revising it or changing anything just yet. You want to get it down on the page in a complete form.
Let the story sit for a little bit, ideally a couple of weeks. It helps put some perspective on your writing and enables you to revise it more objectively.
Go through your draft and thoroughly edit it, tightening the prose, cleaning up awkward passages and improving ungainly plot details. Don't get discouraged, but look to improving the prose rather than tearing it down and rewriting it. If you have a literate friend or an editor, it pays to let them make some edits as well.
Finalize your story and print out a copy, then contact a literary agent or self-publishing service to get it in print.