Pick a theme for your story. You can choose more than one, but note that in short fiction there isn't room for too many. The theme will be the core message in your story, but will remain implicit in the action of the tale rather than explicitly stated.
Choose your main character and decide what he wants. This will be his goal.
Determine the setting and point of view from which you will write. Consider how your choice of point of view ties in with the theme.
Plot or outline your story either in detail or at a high level. Introduce conflict into the story via obstacles the character faces while trying to achieve her goal. Use it as a map in case you get stuck, but don't feel hemmed in by it. Make changes as you go along if you feel it improves the story.