Visit comedy clubs and listen to comedians perform live. Watching recordings of comedians may be helpful, but you can analyze the situation better if you are there in person. This will give you a general idea about what to talk about and how to deliver jokes and funny stories.
Write a "set." This is what comedians call an act or a group of jokes. While you certainly won't read your set during a performance, you need to have an outline of basic material to study.
Study your set and practice performing it in front of a mirror. Do this until you have it completely memorized.
Gather a small group of friends who will provide honest feedback and perform your set for them. Ask them to analyze your material and your delivery, including your poise, timing and overall performance.
Refine your set if necessary. Consider your friends' evaluations as well as your own ideas and work to improve your performance and material.
Sign up for an open mic night. This will give you experience and exposure.
Visit the club at which you will perform prior to your performance. Visit several times during open mic nights, if possible. Observe what type of people are in the audience, which jokes and performances seem to work and which ones do not entertain the crowd.
Revise your material again if necessary. Consider this scenario that would cause you to need to change your set: You see the audience at the club at which you will perform is comprised of mostly 20-somethings, and your material primarily covers issues related to older individuals.
Perform. Whether it turns out great or awful, you've gained valuable experience. Try not to be too hard on yourself. Asses your performance afterward as to what worked and what didn't.
Continue to perform and refine your act. Great comedians are usually formed out of years of experience and hard work. Learn which type of presentation suits your natural personality best.