Create a world. Start with a random shape of a continent, with ragged coastlines. Add in mountains, forests, and other geographic features. Then divide it into kingdoms and territory. Add races or people to fill this continent. A good idea, that is done rarely, is to break the cliché of just one continent and its islands -- instead, make an entire world with several continents.
Write a short history on your world about its wars, the origins of races, and notable heroes, and their deeds.
Read articles that will help you. A few links are below, with articles about fantasy, a breakdown of high fantasy on the Wikipedia, and a fantasy novel to help you along. Work on your map and history, adding and detailing.
Make characters. Give them all habits, flaws and backgrounds. Even if you do not use them in the story, even minor characters should have a biography. They should have recognisable traits such as chewing on fingernails, or talking to themselves. Give them a personality basis are they cold, caring, obnoxious, good at heart but grim and cold on the outside. This will help you determine many things like their looks, biography, and other things. Feel free to break from stereotypes. Not every hero is handsome or beautiful, not every soldier is grim and uncaring. The best characters do not fit a mould.
Make your plot. The plot can start out with an average person who is entranced into the fantasy side of your world. Like Eragon finding Saphira's egg in the Spine, or Frodo receiving Bilbo's ring. The strength of your world architecture and character building should spark a storyline. As if someone stumbles on a strange necklace in the forest and the character becomes a target of an evil king or evil spirit who has minions to do their bidding.
Start on your plot, and gradually build it. It should start out with an Expository, where your character and a day in his average life is told, then the problem is introduced. Then the problem gets worse, like his town is burned. Then serious, as he sets out for revenge. Then you reach a climax like a fight against a minion. Minions are best, because if the main character wins and then the story ends. High fantasy was made to spread into a long series.
Write the vivid scenes first, even if they are out of the intended sequence. Then 'link them' together. When JRR Tolkien wrote the Lord of the Rings, he had no idea who Strider would become when he wrote the scenes at Bree.
Have characters change. Like Rand Al' Thor is as a stubborn farm boy who comes to change to an iron willed leader against the Shadow. Change should not be quick. Their loss of attachment to the old life should take a book or two.
Keep going with your series, and never be afraid to try something. In addition, always put obstacles in the way of your character. It gets boring after a while if the main character is mindlessly going after the villain and killing minions now and then. Maybe a friend is captured, he decides to help defend a village against the villain, he seeks a mentor, or maybe even, THEY are captured. That would help with step five.
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