Conventional self-publishing: Rather than getting a publisher, you pay a printer to produce X copies of your book, which you then attempt to sell on your own. They literally just convert a stack of blank paper into book form- you write, edit, lay out, design the covers, market the result, register the copyright and everything else.
With POD - print on demand, which is what most of the internet sites around at the moment offer - you provide them with an electronic copy (usually PDF), which they only print up when somebody orders a copy. With the former, you get the benefits of bulk manufacture costs (if you need that many copies), while the latter costs a lot more per book, but has no startup fees (depending on who you use -
www.lulu.com is one of the best, well-known ones on the net) and the printer's cut comes out of the cost of each book printed.