Everybody has given you great info, I'll just try to clarify it for you.
I always start at the wheel cylinder the farthest away from the master cylinder. Open the master cylinder, fill with brake fluid, close master cylinder. With the bleeder screw closed, have partner "pump the brake peddle until the peddle doesn't go all the way down. Tell them to hold the pressure on the peddle, and slowly open the bleeder screw. When all the fluid and air has run out of the bleeder screw, tighten the bleeder screw, then tell your partner to let off the peddle. Repeat this process until nothing but fluid comes out. When done, go to the next wheel cylinder. The important things are, always make sure there is fluid in the master cylinder, do not open the bleeder screw until your partner has firm pressure in the peddle, tell your partner not to let off the peddle until you have tightened the bleeder screw. Once you get the rhythm, it goes fast.
Hope this helps.