1. I start off by considering how much I am being paid for the project and therefore how much time I need to spend on it.
2. I research my client thoroughly.
3. I begin by putting ideas onto paper, rough sketches at first, breaking up more detailed sections if neccessary.
4. I work out the colour scheme needed by the client, and how to make it work in the design.
5. I present the client with a basic mock-up (basically an image of what the site will look like).
6. Once accepted I then begin slicing the image and hand-coding it in standards compliant tableless XHTML and CSS.
But then you didn't need to know how I coded it did you?
The main thing is to have a rough idea in your head before you start. Get ideas down on paper and you will have them ready at hand for any project!