First, figure out how many shelves you want. Space them 12 inches apart top to bottom (which will fit most books standing up). Use masking tape to mark the wall where the shelves will go. Next measured the space and have wood cut to fit; this can usually be done at your local hardware store. Then paint the shelves (we used an acrylic semigloss paint; a gloss finish is easier to clean).
Install the brackets first, about 8 inches in from either side of each shelf (two brackets per shelf). Shelves that will be holding a lot of weight require wall anchors for the screws, and different types of walls require different anchors; see below. Rest the boards on top of the brackets and check that they are level. Screw the brackets to the shelves.