Step One: Before paying/using your IP number, first check the IP Score – If the IP score is too high it will be too much work for you to approach hundreds of independent RBL and DNSBL to try to clean the IP number. If the IP score is too high, get a different/other/new hosting provider.
Step Two: Start by setting up a reverse zone for your IP number
Step Three: Decide what operating system to use (Linux (and flavor of Linux), BSD (and flavor of BSD), Windows or other)
Step Four: Decide what email server software to use (Exim, Postfix or other)
Step Five: Start installing the operating system and also a blocking firewall set to block/drop all incoming and outgoing port 25 traffic
Step Six: Start installing your chosen email server software
Step Seven: Configure your email server software
Step Eight: Install the additional software, example: Apache SpamassassinTM, Amavis, etc.
Step Nine: Enable the firewall to open port 25
Step Ten: Test your email server configuration properly.
Step Eleven: Read your logs, all the time, adjust your settings, stay informed, check updates (read the code) before applying. If your email server is misison critical, maybe run a duplicate or failover server and always apply updates and setting changes on the duplicate server before executing on your main server. Did I mention check your logs all the time?
Also see: Howto setup RBL and DNSBL on my email server: