They can be made up of one person talking with a microphone plugged into a laptop or mobile device, or be a more professional radio-style session with several people sitting around a table with individual microphones plugged into a sound-mixing board connected to a computer.
The first thing you should do, however, is come up with a plan for what you want your podcast to cover, how often you plan to release new episodes and how you want to record it. The basic steps are: Record the show, edit the show, and post the show online.
Producing your own podcast can be a fairly inexpensive process, once you get set up with the necessary recording equipment and distribution method.
