Although Mike is right on with his instruction to you, I should point out that your assumption of this process not being straightforward is correct. The exact steps will depend on a variety of things including custom providers, 3rd party modules, skins, database state and software, web host, web host FTP access, web host SQL Server access, etc.
It is not good to build out the site locally as you would want it on your live site. Your local instance should only be for development, testing, and proof of concept trials. I know that this is not common knowledge, as it stumps quite a few people on their first time using DNN.