How do I start it?
Make sure your container is on a good flat spot with good water drainage. Try and mix things like leaves and grass in well with your household scraps, and cut/tear/chop everything into fairly small chunks. (A good idea is to save your leaves and grass cuttings throughout the year to add gradually to the pile!) Keep the pile moist but not dripping wet. (Use a cover to keep the pile from becoming too wet from rainfall.) If it does get too wet, turn and loosen it or add more dry materials like leaves. If it gets too dry, water it with a watering can or hose.
Provide air to the pile every now and then by turning it with a pitchfork or shovel. (Note: Specific instructions may accompany commercial bins.)

How long is this going to take?
Anywhere from a couple months, if you follow all the tips outlined here, to two years, depending on what you put into your pile. (Generally, the stuff at the bottom and middle of the pile will be ready earliest!)

Can you compost in the winter?
Yes. Continue to add materials throughout the winter. It will slow down, but the pile will become active again in the spring.

Will the pile smell?
A compost pile that is working well shouldn't smell bad. If it does, it's probably just too wet or compacted. Turn the pile with a shovel to let it dry out, or add dry materials such as leaves.