Depends on what kind of project it is, what state of mind I'm in, etc. But basically I just sit down at the computer, and start. If I'm writing java, I fire up Eclipse, and write a main method, that just does

  System.out.println("done");

run that, and then start adding stuff. If it's a web project, and I'm using Grails, I do something like:

  [prhodes@voyager]$ grails create-app foobar

then fire up Eclipse, import the project and go from there.

Sometimes I'll break out a sketch pad, a box of colored pencils, and do some doodling / designing / brainstorming, but it just depends on what it is.

After all that, I fire up XMMS, and get some tunes going... Motley Crue, Queensryche, Metallica, Megadeth, Testament, Slayer, Danzig, whatever... just some good coding music.

Edit: Oh, wait, forgot a step... maybe the most important step. Putting on a pot of coffee to brew! :-)