First you make a roux
Louisiana gumbo recipes always begin with a roux, an equal mixture of oil and flour that provides a base and thickener. Proportions will vary by recipe, but 2/3-cup oil and 2/3- cup flour is usually enough.
To make a roux, mix the oil and flour together in a heavy pot (a heavy pot is essential). I use vegetable oil such as canola oil. Don't use peanut oil (it gets too hot) or olive oil (it doesn't get hot enough and the flavor is wrong). Then cook the flour-oil mixture, stirring constantly, until it is the color of a dark mahogany. Most cookbooks will tell you to cook the roux over a low flame. It will take about half an hour to brown that way, but you're less likely to burn it. I cook my roux over a high flame because I'm impatient. If you use a high flame, you can't leave the roux for a minute because it is easy to burn. (Nothing can be done with a burned roux except to throw it out and start over).
Once the roux is dark enough, lower the flame. At this point, recipes will usually have you add a mixture of onions, peppers, etc. or water to lower the temperature of the roux. If you have a recipe that calls for water, add warm water so the roux won't separate. I think the flavor is better is the vegetables are added to the roux and cooked a bit before water is added.
(You can use a microwave to speed up the process, but this breaks every rule of microwave cooking. Mix the oil and flour in a 4-cup Pyrex measuring cup. Do not use a plastic container. Microwave on High for 5 minutes. The roux will be light brown at this point and can be finished on the stove. Don't push for a darker color in the microwave. The roux goes from light brown to burned before you know it. The roux will be very hot, but the measuring cup handle should stay cool enough to touch.)
You'll get a real Louisiana
flavor if you let the roux get dark enough.