Growing from a seed
Capsicum is the type of plant that you are going to need a lot of patience for if you want to grow it form a seed. Plant a couple of seeds in a little seedling pot atop a few cm of soil, and then cover with about 1 cm of soil. You want to make sure that if you are planting them in a seedling planter that you only have a couple of seeds per pot. Find a spot that gets some sun; I choose afternoon sun as it is all I have accessible for my seedlings, but I would suggest fuller sun. The more sun the capsicum seed, seedling and plant gets the better your capsicums are likely to be. Make sure you keep the soil moist watering the seeds at least once a day. The capsicum seeds will take a LONG time to germinate. All of mine took near to a month. So keep watering your patch of dirt even when you think nothing is happening and you got dud seeds. they will sprout, they just need time and patience.
Unlike the capsicum seeds, the seedling will grow a little bit faster. They will start as little u-shaped shoots that look like they hook back into the soil. From here they will straight out over the next 2-7 days and grow a few centimeters.