Sorry, but that is far too broad a question. If you have a specific problem with integrating a particular payment gateway into your site, then we might be able to assist. However, asking for step-by-step instructions in this manner is not appropriate.
I suggest you do some basic research of your own, using both the forum search function and a general internet search. If you then have a specific question about a particular payment gateway, then feel free to post again, but you will need to give full details of which gateway you want to use, which shopping cart or e-commerce system you are using, etc.