Eddy has provided an excellent answer. I'll just add that there's no 'walk-up' visa service available at the US Embassy. You have to phone for an appointment. (09042-450100. Have your passport and a credit card, not a debit card, to hand when you phone).
When you attend for your appointment, you have to take the relevant paperwork with you (which can be downloaded from the internet).
If the reason that you require a visa is that you you don't qualify for the Visa Waiver Program because you've got a criminal record (or simply because you were once arrested for something), you should be aware that the whole process takes around 5 months.
Full details, including the relevant links to the forms, are in my posts here:
http://www.theanswerbank.co.uk/Travel/Question 289769.html
(Note that some of the links might not be 'clickable' because AB hasn't highlighted the whole thing in red. Simply copy the URLs and paste them into your browser's address bar).
Chris