Decide what words you need, and how many. You should also decide whether you are looking to create an entire language or just the words you need to further your story. Creating an entire language that can be spoken, like Elvish or Klingon, will be very difficult and very time-consuming. J. R. R. Tolkien's Elvish was a lifetime project for him. Most writers create only the words they need.
Spend some time researching other languages, and study their word structure, grammar and syntax. This will help you create a flow and sentence structure in your fantasy language.
Choose your sentence structure and the sound "theme" of your words, now that you've studied the structures and sounds that other languages use. You'll need to stick to this once it's decided, unless you want to go to the trouble to create dialects of your language.
Decide what your vowels are and what sounds they make. Do you want long 'A's or short 'A's in your general pronunciation? Do the research on the different ways that vowels can be pronounced in different languages, and pick the way that sounds the best to you.
Make a spreadsheet or some kind of chart to keep track of the words you create. Now you can start creating words and deciding their meanings. Keep doing this until you have all the words that you need for your story.
Name your language now that you've come up with the words you need. Make sure the name matches with the sound you've picked for your words. Now you can just steadily add to the language as needed for your story.