AerBabe
However, I really want to learn to do this...
Good idea -- learning "how to do it yourself" does have it's advantages
The biggest variable is in how your provider provides access to the webspace he's given you.
BRL has pretty much summed it up about domains and space, but please come back to us if you need further help.
As to creating actual web pages, if you want to learn how to do it yourself, at least to start with, there is a very helpful tutoria
here 
HTH,
/RTFM