Decide what type of genre your story can be categorized in, whether it's horror, romance, mystery or mainstream. There are specific publications for every genre; know where your story fits best, and submit accordingly.
Buy a copy of the most recent "Writer's Market," an annual publication found in the reference section of any major retail book store or websites such as Amazon. Every edition has a short story section that lists both print and electronic publications, contact information, current needs and response times.
Read the publications that publish the types of stories you write. Get a feel for the kinds of stories they have printed. Obtain the name of the editor, and send a query letter describing your story to see if he is interested.
Write or email specific publications you are targeting, and ask for writers' guidelines. Most publications have specific directions for what they are looking for and how to submit. Learn what each publication is looking for.
Search online for listings of short story markets. Writer's Digest and Red Inkworks are two websites that list short story markets (see Resources below). There are also dozens of genre-specific online market listings.