You can get some nifty guides here (among them being how to rip scenes off your DVD):
http://www.animemusicvideos.org/guides/Also give their forums a try, as there are probably step-by-step tutorials to help you out.
Basically, though, what you'll need is a song (audio file), scenes (you can rip footage from AVI files using freeware programs such as VirtualDub) and a movie maker (Windows Movie Maker, Nero Vision Express, Adobe Premier etc.)