Step1
Assuming that you have a personal computer of some sort, we can lay the ground-work for setting up your own digital studio. Keep in mind that the computer can be Apple Macintosh Classic, OSX, Windows OS, hell even DOS or Linux users have the ability to record audio, or MIDI at the least! Now what you need to do is to figure out how you're going to get audio (or MIDI, but we'll talk about that later) processed digitally -- in-other-words, manifest sound from your computer.
You have two options. A: Use your computer's line-in jack, if available (and it almost is) B: Purchase a sound card or external audio device (USB, Firewire, PCMCIA, etc). Option A is probably the easiest, most primitive way to go about things, but not the most flexible for more demanding applications. Option B, on-the-other-hand is going to cost a few more bucks, but the sound quality and flexibility is uncompromisable. There is good news, though. Professional-sounding recordings are cheaper to come by these days, thanks to advances in digital technology that have rendered computer recording devices affordable for the common Jane/Jon Doe.
Step2
We herein assume that we have a computer with sound recording capabilities (as described by what shall herein be described as a sound card for practicality's sake). Your computer will have all of the sound cards editable properties somewhere on your system, either through the OS, a separate program, or a combination of both. Now, your audio needs a host program to receive the digital audio data. If you wanna go caveman style, then you can choose the default OS sound recorder, such as the Sound Recorder program in Windows. But, if you want sequence a song to edit, than you may want to invest in, or download (steal), a multi-track program. Titles include Sony Acid, Image Line Fruity Loops, Apple Logic Pro, and a plethora of others! Either option A, or option B will work work with just a line-in jack, or a third party sound card. A benefit of using sequencing programs, is that you have the option to insert effects, EQs, etc.
Step3
Now that you have discovered the magic of digital audio recording and sequencing, we come move on to a term mentioned earlier. MIDI. MIDI stands for Musical Instrument Digital Interface. It was developed over a decade ago, and is still widely (possibly more widely) used today. MIDI data was traditionally received through an electronic instrument that sent note and/or expression data to a computer through a special MIDI cable. It still works that way today, but the standardized USB and Firewire cables have come into play more frequently. Most audio sequencing programs have the ability to translate MIDI data into sound, and couples that with production capabilities. Modern techniques in convolution (replicating sound through sampling) have made it possible to route MIDI to recreate incredible instruments such as synths, orchestral, even guitars!