You need to download the server software from Minecraft.net - just click "download" under alpha, and on the page where you download the client is the server software, down on the bottom.
After that, you need to port forward on your router. Find out your local IP using ipconfig in command prompt, then google instructions on how to port forward for your specific router. (Almost every one is different)
Once you've done that, test it by looking up your external IP at whatismyip.org and trying to connect to it in the minecraft client.
For more detailed instructions requiring less google, hit up the Server Administration board. There's tutorials for both windows and linux, and for adding mods as well.