Peppers are one of the trickier vegetables to start.  Follow the Basic Seed Starting Instructions.  The difficulty comes in giving the seedlings the right growing conditions and in being patient.  Peppers are slow to germinate, slow to grow, and require heat.  Peppers love heat.  80-90 degrees is the optimal temperature for germination.  If you keep your seedlings at room temperature, you can expect it to take up to a month to germinate.  That's a long time.  At the right temperature it usually takes 1-2 weeks, so it still takes a while.  After they come up, they still need to stay warm.  They grow slowly, so it is best to start them early.  If you start them early, use a heat mat, and keep them warm until it is time to plant, they will do well for you.