You have to buy the domain name that you want.
Go to your preferred registrars website and perform a search on the main
part of the domain name of your choice (my domain is robgt.com, so I would
search on robgt to see what domains are available).
My preferred registrar (not for any particular reason) is www.names.co.uk
I'm in the UK though so they are a good registrar for me but maybe not for
someone located elsewhere in the world.
From the list of available names, choose those you want to register and then
purchase them.
Then you need to sort out webhosting for your new domain name.
Thats it (apart from building the website, of course
HTH
Rob http://robgt.com/
Extensions: http://robgt.com/products/index.asp
Tutorials: http://robgt.com/tutorials/index.asp
Blog: http://blog.robgt.com/