First, determine how big you'd like your pond. Trace it out on the ground. If you're going to put koi in it, create an extra 5-6 inches deeper spot in the center for the koi to retreat to for safety (in case of ducks and such). Dig down at least 2 feet all over.
Cover your newly dug hole with your liner. Liner should extend about a foot out of your hole. Anchor with large rocks. Smooth out liner as best you can. Make sure if you're walking around in the pond, not to rip your liner.
Install water pump. Be sure the pump has enough power for the size of your pond.
If you're going to line your pond with rocks, now is the time to do it. Make sure they are safe for fish. Don't use decorative, colored ones that are used for other purposes as they may kill your fish.
Fill hole with fresh water. Make sure pond retains water before putting in plants (if desired, and available at your local garden store) and fish.
If pond is retaining water, put your fish in. Make sure to turn on your pump. Feed your fish daily.