Although the question may be dated, it is most relevant when many still are curious about getting into fly tying.
In short, a fishing hook is placed into a relatively small free-standing vice. The hook is typically wrapped with a nylon thread (similar to sewing thread) by a special hand-held device referred to as a bobbin. This bobbin helps wrap thread around the hook in a very precise manner. Various types of material are wrapped against the hook shank, specifically orientated to simulate natural wings, legs, eyes, and tails of flies, insects, bugs, frogs, mice, shrimp, crabs, baitfish, etc. Natural materials consist of fur/ hair and feathers. Synthetic materials consist of film/ mylar, metals, plastics, yarn/ chenille, and much more. Materials are layered over each other in a way to build up the fly from the shank outward. The fly tying process is concluded by "whip-finishing" or tying off the end of the thread and adding a small amount of super-glue or head-cement to keep the thread from potentially unraveling.
Endless creative designs exist in fly tying. For the most part, freshwater fly designs differ from saltwater because the food source is different. For the same reason, some flies are meant to float and others are meant to sink.
As kenfitz infers in the adjacent answer, your question is somewhat "loaded". There is so much involved in fly tying. An understanding of what fish eat, the environment you wish to fish, and a sense of creativity are all apart of tying flies effectively. Mastering how to use the fly with a fly line and fly rod comes next.
Visit http://www.flymastery.com/category/fly-patterns/ for examples on various saltwater flies and what materials are used to create them.