There are several thousand thoughts that run across an individual every day and out of that 5 are new. If you think you have a good idea and don't know what to do next, please go through all the links.
The first step should be to find out if the idea is really innovative or not. Thanks to Google, you can do an initial idea validation in hours. Once you are convinced that the idea is innovative, then start working on an execution plan. Lot of people skip this step and jump directly into implementation. It doesn't hurt to do that but planning is always a better as it helps focus your efforts.

There are several other sites such as http://www.entrepreneur.com/week5/hyundai179004.html which has lot of information about entrepreneurship. Please refer them as well.

Finding the right mentor is key. You can find good mentors at
http://www.micromentor.org/findamentor.html or www.score.org