How do I go about it?
Yes you do and no you don't! Have you ever dug a hole for a fence post? Try it . . .
What type of fence do you want? How long is your run? Does it snow? It makes a difference as to how deep you have to set your fixed posts.
First, be sure it's permissible in your community, so you don't waste time making it, only to be directed to remove it. Then, you can find help at This Old House or DIY.com