Well, if you've been thinking about it for a long time, it's different than if you're starting off blind. I usually start my stories on a whim, expecting them to be just a few chapters long, and they explode.
Is your story going to be shorter? If so, write down the basic ideas for what you want to follow--from beginning to end. Make sure that any themes or the tone that you might want to carry through are clear in your mind, and remind yourself of them every time you sit down to write. After that, do what has been said above. Just sit down and write whatever comes into your head, and then piece it together.
For longer stories I take a similar approach, but on a much larger scale. For me, my stories often take me as much by surprise as my readers. I usually start off with an opening chapter, just trying to set out the basic tone, style, and characterization that I like. After that, I go about writing out "scenes" that I've already worked out through my head, like watching a movie. I write out the basic "what happens"--writing down where people are moving, and the basic gist of what they're saying. After the chapter is complete enough to make sense (I call it my "black and white draft") I go through and "color it"--reading it to check for extra characterization, description and details, and trying to really get inside my characters head for their mood.
I usually have about two to three consequential chapters written ahead of the ones I post, just to make sure that I'm keeping consistent on tone and events. I don't like the idea of having to go back and change stuff I've written after I've already posted them.
But yeah--one of my big suggestions is make sure to quickly write down the scenes you can see clearly in your head. Write them out in all their glorious detail, trying to capture the mood and tone especially, and then work out the details around them later on. Let the characters and basic idea from your story run through your head throughout the day--like a running tv show with commercial breaks of real life. Not only does it help progress the story, but it keeps you from getting bored during any boring, required college classes you might have to take. (Yes, my life is sad.)
Sorry this went on so long. I hope it helps.