Step 1: Tools
Here is what you need:
A C02 Cylinder, mine is a 10 LB as I did not want to have to get it filled very often. 5 lbs would work too!
1/4" thick walled hose, as long as you want, but long enough to give you some freedom from the cylinder.
Disconnect - Ball lock with 1/4" barb (gas)
Hose clamps (2)
Carbonator brand PET bottler
Empty 2 Liter PET bottles
I happen to live close to Ballast Point Breweries' Home Brew Mart, so that is where I picked up all but the 2 liter PET bottles. All the pieces cost me about $250. I recommend finding a local home brew supply house to pick up all the items as they should have helpful staff to assist you in the acquisition of all the pieces and perhaps fill your cylinder or direct you to somewhere that can. It will cost less to order the big pieces online though. You don't actually have to drink any of the nasty commercial sodas to get the 2 liter bottles, family and friends should be more than happy to give you theirs!
Attach the regulator to the C02 cylinder using the instructions provided with said regulator.
Attach the hose to the regulator's outlet and tighten with a hose clamp.
Attach the Ball lock disconnect to the other end if the hose with the other hose clamp.
Following all safety precautions (i.e safety glasses, and directing loved ones to a safe distance) slowly open up the C02 canister's valve and tighten up any leaky connections.
Adjust the regulator to 30 PSI.
Your C02 rig should now be ready, on to the next step!