Blizz could probably tell you something more official, but this is what I went through:
0. Plan.
1. Find/make libraries. These could be graphics libraries, data libraries, game object libraries, etc. They are basically the framework in which you create your game. Lots of these are reused/shared from project to project. Choose formats for files (maps, save data, etc.) and write code to connect the file formats to the framework.
2. Prototype. Create a prototype level with prototype content.
3. Program game logic. Make gravity, or collisions, or fireballs, or jumping, or whatever. Put a character in the prototype level. Make menus. Etc.
4. Re-plan. Reassess your plan and your prototype, make sure that your plan is possible, and plan out what you need to add to your prototype to make it into the game you want.
5. Extend your prototype. Build in all of the features you want.
6. Test. Bugs happen, very often.
7. Demo. Let other people playtest the game to make sure that nothing is confusing or bad.
8. repeat 4-5-6-7 until desired game is complete.
EDIT: something slightly more official:
http://gpwiki.org/index.php/Lone_developer