Yep ... I've flown with my bicycle many times.
1) Get a box ... I use a cardboard one from my LBS (the Madone box I used recently was the best one I've had), or you could use a hardshell case which you might purchase or rent from your LBS, or there are also bicycle bags.
2) Put the bicycle in the box ... if you're not sure how to do this, check with your LBS, or I and others here could give you some tips.
3) Go to the airport. Note that airports sometimes also have cardboard boxes so one option might be to ride to the airport and box your bicycle there, but you'd want to check if they have boxes available first because not all airports do.
4) Go through the check-in line like usual. Your bicycle may be taken away to be weighed and measured and X-rayed, or you may be asked to take it somewhere for those purposes. You will also likely be charged for the bicycle so come prepared to pay. Then you'll be asked to leave your bicycle in a place that usually doesn't seem like the right place, but it is.
5) When you arrive at your destination, your bicycle may come around on the caroussel (has happened to me a couple times), or it may show up in the oversized luggage area (that's more frequent), or it may just show up somewhere in the baggage area. If it doesn't appear on the caroussel or in the oversized baggage area, I'll just take a walk around and see if I can spot it somewhere.
6) And off you go!
Read the following article over regarding regulations for bicycles on airlines ... it's stuff you may need to know:
http://www.ibike.org/encouragement/travel/bagregs.htm