Jot down ideas of what you dream the fan club for your favorite star to be like, such as if it is made up all men or all women. Perhaps it will have a logo. Decide what type of leader (if not yourself) should be trusted being over everyone else.
Search the Internet for existing clubs and match the perfect one up with your detailed ideas to examine whose is better suited for you.
Contact the leader and approach him with your interest to join. Ask questions if you are going to need more info.
Proceed into creating your own fan club if you do not like what you see. You will want to create a free web page and post lots of pictures and material clips (music, media, film) on the celebrity of choice.
Invite people via message boards and through other clubs to visit your website and become members. Beware of jealous club members from other clubs. You may consider making your web page password protective and offer it to the dedicated members you will meet.