Step 1: Decide what program and school you want to apply to. You can search on Google for information about the universities. Applying through agents is easier. You can tell them what course you want to study and what city you want to be in, then they can tell you which university is the best for you.

Step 2: Decide what language you want to learn. I studied in English. As for me, English and Chinese are the only two options I know.  

Step 3: Do some research about scholarships. 

See another answer—How to get the best Chinese government scholarship for international students?

To be self-sponsored is the easiest, and many students here are self-sponsored.