You need a good grain grinder. I use Blendtec's Kitchen Mill. I personally love it, but I know there are a lot of other good grinders out there. Do your homework, and pick one. They will run you about 100-200 dollars. Or to save money check on KSL and get a used one. It is worth the investment. Fresh flour produces better, more nutritious, baked goods. A grinder makes it possible to use a lot of different flours and flour blends you can't find in the store, making it easier to get more whole grains in your diet.
Buy your grains. That you are going to make into flour. I buy all of these in big 50 pound bags through grainmix.com, and alpine food storage. To start out making flour I bought the grains in smaller quantities in the bulk section at Good Earth, a local health food store. Buying them in smaller quantities allows you to try them first and see what you like best.
The blend that I have been using lately, and produces wonderful results is: equal parts brown rice, barley, and spelt.
Once you have your grains you are ready to make flour! You will need a big bowl to mix the grains in. Measure into the bowl equal parts brown rice, barley, and spelt. Depending on how big of a batch of flour you want to make varies how many cups of each you will measure out. Mix the grains together, and then grind them according to your grinders instructions.
Use it all up at once, or store the flour in the freezer for a longer shelf life. I like to grind extra so that I have some on hand.