Hi Bill, try to start with a short report... With something that you know and that you know others will want to know... Chose a catchy title for the report... You'll surely know what to write and if you need someone to design your eCover, I'll do it for free... Contact me for details...
Set up your site and setup an auto responder account...
If you don't know how to do it you can use services such as...
http://www.emailmeform.com/ for the time being...
Write a nice sales copy... (have a look at the sales page of big names)
Design a nice header...
You can find free headers on photobucket or deviantart I think...
Now you can sell that report...
But you'll lose around 90% of potential clients...
Give away the report for free...
Ask your sites' visitors to subscribe to your newsletter to get your report for free...
Give a sense of emergency (This report won't be kept online for long)...
Next, you need to promote that site...
It's now the hardest part of the job....
Try to get as much as targeted visitors as possible... The more targeted are your visitors, the easier shall be the list building process....
Set yourself as an expert author on Ezine Articles...
Conquer Youtube....
Implement some stuff about viral marketing...

PS...Set Give Away Rights on the report... Contact site owners, ask them to include your report as bonuses within their products...
Don't forget to ask for feedback from your report readers...