You must begin with a great script. Your life will be much easier if you write it yourself, but if you are not a writer, hire a writer or collaborate with a friend on the script. Bear in mind that it is tough to stand out in a sea of millions of short films shot each year, so keep your idea short, clear, to the point, and, above all, original.
Once you have a script that you believe in, it's helpful to find a producer to help realize your vision. You can produce your own work, but it's best to delegate the administrative work to a producer so you can focus on the creative side of directing. Find someone who can make a budget and a schedule for your film while you focus on casting, designing the sets and coming up with a shot list.
Once you decide when and where you're going to shoot your film, break down the space and time into how you want to shoot it and what you want it to look like. Come up with a set or work with a set designer to figure out the look of the film. For a horror film, go for something dark and frightening; for a romance, something light, whimsical and dreamlike. Be sure to convey the ideas of your script through the design of your sets.
Once you know the look of your film, you must work with your director of photography (DP) to decide how you want to shoot it. Will you do hand-held shots for the raw, organic look? Or does your story require smooth, long takes that will be done with a dolly? Depending on how much money you can come up with, the more options you have for toys to play with. In an ideal world you would have access to a Steadycam so that your DP can shoot fluid conversations or action pieces without ever cutting to reset the camera. The same effect can also be achieved through hand-held camera usage or using a fig rig, which is a mount for a camera that looks like a steering wheel for a car and is held and operated by the DP. It's also important to plan out your lighting scheme, i.e. what sort of mood you want to set with the lights.
Last but not least, rehearse with your actors. Once you find people who look and feel the part, be sure to make as much time as possible to work with them and really help them get inside the minds of the characters. Suggest they come up with their own character biographies so they can bring parts of their own life to the characters as well as discover things about the characters that you and the writer may not have thought of. Put as much time into this process as you can so that once you get on set, the actors are comfortable with the roles and you won't waste time and money doing take after take.