It's a rather tricky process to make a website from scratch. There are website builders that just give you a template to fill out, but if you want to create your own site from the ground up, you have a lot of work to do.
First, you need to create the images and layout in photoshop or a similar program. If you used photoshop, you can then slice the overall image of the website into smaller pieces. An example on this forum is the top bar:
That was sliced into its own small image.
Next, once you have your slices, you need to put the website together using HTML, or a program like Dreamweaver which helps with most of the coding. Every page of a website is its own file, and they all must link to eachother correctly.
A small example: Say i have a website with three pages, Home, About me, and Gallery. In my navigation, I would have to tell each link to go to the correct page. So, on all three pages (except for maybe the page you are currently on), the Home button would link to index.html, About me would link to About.html, etc. The biggest issue here is that, if you find one link is dead on all the pages, you MUST go and fix it on every page... one at a time. Huge pain.
The next HUGE part is file location. The first page you load must ALWAYS be index.html, no exceptions. All of the other HTML files must be in the same folder as index.html, or else they will likely not work. It IS possible to have them in other folders, but there is no reason to do that. Next, every image in your site should be in a dedicated image folder. Every page that uses those images needs to know the exact location of the files, or else you'll just get red x's.
Once you get it all working, you'll then find a good host to use, and FTP (upload) your files to their server, so that everyone can access it.
Its a long and tedious process with a LOT of room for error. There's a reason they have entire classes dedicated to web design, and I just tried to summarize half a semester of knowledge into a single post.