Gather your equipment. You will need a camera, try to get the best one you can afford. Web shows rarely have expensive scenery or props, so try to save up for a nice camera. Make sure that your camera is capable of being hooked up to your computer.
Write a script. Many people turn on the camera and just adlib. Adlibbing is not for everyone. Many people will benefit from using a script. It will help relieve stage fright and will also help you edit your show and know what needs to be rerecorded.
Learn your lines. Practice your script until everyone can say their lines in a conversational way. Try not to look too rehearsed.
Record your clip. You will probably have to record four of five times. Rarely will you get everything perfect on the first try, even if you do, you may want to have a few different versions to choose from.
Find a Hosting site for your show. Many people use youtube.com but there are many others. Some people buy their own website to put their videos on. You may want to start out on a site such as youtube and buy a website when you get more popular.