Tony, the first thing you do is go to your local building inspector as you will need a permit. Local codes vary on the type and gauge wire you can run and the distance to your shed is important. He can tell you what you how deep you need to dig your trench and when you need to get it inspected. You should also have a drawing of the layout of your shed and what you plan to use the electricity for. When you have the wire run both underground and in the shed, I strongly suggest that you call in a pro to make the connections inside the service panel.
You can do most of the work yourself. But I'm sure that you do not want to burn down your house or shed, so do it right. If you get caught without the permit for the work, they can make you tear it all out. If you try to sell your house and can't show a permit for the work, they can stop the sale until the work is redone. This is probably not what you wanted to hear, but it will save you a lot of bigger problems in the future. :o) Henry in MI