Read as many fantasy books as you can. Start with classics like "The King of Elfland's Daughter" and "Lord of the Rings," and move on to some modern-fantasy, including "The Bartimaeus Trilogy" and a "Song of Fire and Ice." Also, read mythology and legends. Many fantasy authors draw inspiration from such stories.
Decide what kind of fantasy you want to write. Epic fantasy? Urban fantasy? Something in between? Supernatural elements make a fantasy. That element can be the characters, the plot, the setting or all three.
Create an idea big enough for three books. Ideally, one part ends as another begins. The "Bartimaeus Trilogy" is a good example.
Where will the story take place? Fantasy can be set anywhere from ancient Greece to modern-day Hong Kong to a make-believe world inhabited by creatures out of your imagination.
Make up characters. The books need to be about someone--human, elf, demon or anything else. Round them out. They should be real people, not cardboard cutouts. Instill in them emotions and motivations to move the story along. Your characters are more important than the plot. Without them, nothing happens. Their decisions move the story.
Outline your trilogy. Detailed or sparse, it will keep you on track if you forget what is supposed to happen next. Remember that an outline is flexible. It changes with the story.
Keep writing until you finish the first book.
Edit the first book. A story is alive and should change and grow.
Write and edit the second book.
Write and edit the third book.
Join a local or online writers group. Other writers point out mistakes and help you find your strengths and weaknesses. Absolutewrite provides an online forum of writers, many of whom write fantasy.
Edit the entire trilogy until it is as good as you can make it. Think years.