I'm doing that now, but not far along, so I'll just tell you what I know from personal experience only... I think there is a post about this on QL that will tell more so try a search.
First, go to your embassy. You need to get a letter from your own country first. For USA, we get a letter to CID from embassy, get fingerprinted at CID then request a letter from the FBI first. After we get FBI letter we go back to embassy. There's more- but since everything always changes here I'll atop there with my advise.

It's a tedious process so just do one step at a time...