Small towel soaked in very very hot water, squeeze most of the water out of it. Lay it on your face for 30s or so.
Apply shaving gel, foam or even better shaving soap as evenly as you can, but not too thick a layer.
Make sure you get a sharp decent razor blade. Mach3s are slightly better than average but give a pretty decent result for the majority of the population. A cheaper and equally decent performance option is to get a traditional single blade razor. The action an performance is similar to a cut-throat razor. Obviously the creme de la creme is a proper single blade razor.
After shaving whilst going WITH THE GRAIN. If you're not getting a close shave, you're not doing it right. There should never be a time where shaving against the grain is necessary.
Copiously apply lots of very very cold water on the face to close up the pores.
You can use a moisturising oil or shaving balm if you suffer from shaver's rash. A good way to stop infection is to use aftershave as a bonus it smells nice too - but the alcohol disinfects your pores.
And there you go. It's a laborious process, but worth doing right. I'm lazy and shave once a week - but then again as soon as I shave I need to shave again anyway. I have yet to meet someone who can grow a beard as thickly or as quickly as me!
Edit: EVERYONE should at least once, should get a proper shave at a barber's - you will never have a better shave ever.