Write your screenplay. Screenplays have an extensive, specific set of format guidelines, so you will want a good book on the subject to use as a reference as you write. Screenwriting for Dummies is a good choice. It's thorough and easy to understand. You'll also need screenwriting software, which will format your script for you as you write. Final Draft and Movie Magic Screenwriter are scriptwriting programs. Celtx is a free web-based screenwriting program that has all the features of the big name software, plus it includes breakdown and production tools you'll use during the shooting process.
As you write your story, try to keep it low budget. Think about limiting the expensive special effects you'll be using. Keep your cast of characters and locations to a minimum. These things worked into your story writing process will save you money.
Select your cast, your crew, and scout out your locations. If you have friends or family members who will work with you or who can act, don't be afraid to use them. Save money where you can. Clear any paperwork or make any arrangements necessary for clearance of shooting locations. Do a script breakdown that includes all crew, cast, and prop costs as well as a shooting schedule. You can do this with your Celtx software.
Decide whether you want to shoot with traditional 16mm or 35mm or if you want to use a 24-frame progressive digital camera. With digital cameras, a computer, and editing software, you can have a reasonably cost-effective set-up for doing your film. If you can't afford to purchase the equipment, consider finding a place where you can rent. If you know anyone who takes a film class, see if you can get them to help out.
Get your special effects from a Halloween store at the end of the season if possible. You'll need special horror effects for your movie. You can find books on make-up effects at the library or at any bookstore. Fear.net (http://www.fearnet.com/shows/tricks_of_the_trade/index.5.html) has a few good ideas for creating special effects from household items.
Follow your shooting schedule as closely as possible. Try to limit rewriting during the filming process, especially if you are on time constraints with location or actors. Try to look at the day's footage at the end of each day to ensure you got the coverage you wanted and that you don't need to shoot any scenes again. Also, don't worry about shooting scenes out of sequence. If you can save time or money by shooting out of sequence, do it.
Edit your film using nonlinear editing software, which allows you to use any computer to cut your scenes together in any order you want. There are many of these software programs available, in a wide range of prices. The Adobe Creative Production Suite is expensive but extensive. It's available for PC and Mac.
Submit your finished film to the Sundance film festival or any other festival where you can look for a buyer. Trying to distribute the film yourself, without a lot of money to back you, is not a good option. Film festival showings are ideal for scouting out a film distributor. If your work is good, you could also get a gig directing another film for a major company.