I'm not here to dissuade you (rather, I'd like to encourage you), but let me first get this out of the way: knife making is a slow, delicate, painstaking, multi-faceted, sometimes frustrating process. It requires skill in metalworking, woodworking and design, patience, attention, and general levelheadedness. You have to take your time if you want to do things right, otherwise your experience will be sub-optimal. Even I have trouble with this sometimes, as this project will, itself, show you, and some of my past projects will blatantly scream...*wink.* Don't be frustrated if your first project doesn't come out the way you want it. All good things take practice, and you may make several knives--or several dozen--before you make one you really, truly have no beefs about. But it's good fun, too. You can do it. Don't worry.
Okay, so you still want to make a knife. Read on.
Step 1: First thing's first...design the blade!
First, plot out the blade and handle shape on graph paper. Try to get it as close to actual-size as you can. The less changing you have to do to the design once it's on the steel, the better.
Now you need to decide how to attach the handle to the blade. There are three common methods of doing this: a full tang, a partial tang, or a through-tang. A full tang has the same profile as the handle of the knife, and the meat of the handle is formed by two slabs of wood (scales) to either side of the tang; most good knives are made this way. The knife I'm making here is a full tang knife. A partial tang is the most inconspicuous of the three and, in my view, the hardest to make. In this design the tang is a rod that protrudes back from the blade and is completely hidden inside the handle, secured with a rivet or two. Japanese swords and sushi knives are made this way, though the latter is secured with a cuff rather than rivets. A through-tang knife is similar to the partial tang except that the tang extends all the way through the handle to be secured by a nut or by peening on the other end. Ka-bars and most turned-handled knives are made this way. Choose whatever best suits your project. There is plenty of info on the web if you're not going to make a full-tang knife, though I recommend it for a first project.