You turn the oven on, and you put the potato in it.
Now if you want to cook the potato so it comes out tasting good, you need to be more specific. It's a good idea to pre-heat the oven. About 350 degrees Fahrenheit is good (176 °C, Gas Mark 4). If you're cooking other things at the same time, you can use a slightly different temperature and adjust the time. In general, potatoes are tolerant of a wide variety of cooking conditions. First wash the potatoes, especially if the people eating them like eating the skins. Cut away any green or rotted spots. Many people also cut away the "eyes" or spots where roots grow. Stab the potatoes with a knife or fork. (This keeps it from "exploding" into bits all over the oven.) For a russet, Idaho or other baking potato of about 5-8 inches long and 3 inches in diameter, put the potatoes in the the oven for about an hour. If you don't have an hour to spare, start them off in the microwave for a few minutes. Test whether they are done by sticking them with a fork or knife again. It should be much easier now -- the consistency you like in a baked potato. For other kinds of potatoes, check a recipe (see baked potatoes on the Recipes Wikia).
Popular garnishes for baked potatoes are sour cream, butter, chives, parsley, cheese and bacon.