ACHTUNG! The following writeup is subject to the U.S. Export Administration Regulations and other U.S. law, and may not be exported or re-exported to certain countries (currently Cuba, Iran, Iraq, Libya, North Korea, Sudan and Syria) or to persons or entities prohibited from receiving U.S. exports (including Denied Parties, entities on the Bureau of Export Administration Entity List, all your Base are Belong to US, and Specially Designated Nationals).
STEP 1. Get a country. Unless you already have a great deal of resources, procuring an entire sovereign state can be a messy ordeal, so we recommend that you start a revolution in a Third World state nobody has heard of. Good examples: Bhutan, Burkina Faso, Quebec, and Yemen. We would recommend Afghanistan, but it just doesn't have good karma any more.

STEP 2a. Find a nuclear power to commiserate with. The following countries are currently nuclear powers:

China (PRC, not Taiwan, although Taiwan will get you some damn fine bootleg DVD's)
Iraq Iran nope, definitely Iraq Syria
Israel... oh, wait, you're not supposed to know about that. Sorry.
North Korea
Russia (while supplies last)
United Kingdom
United States
Generally, you should seek the support of China if you are a troubled socialist regime, France if you are a troubled capitalist regime, and the United States if you are a troubled regime located near an oilfield. If this is not possible, go to step 2b.

STEP 2b. Call Aum Shinrikyo, they've got lots of sarin they'd like to sell you. If you don't speak Japanese (shame on you!), go to step 2c.

STEP 2c. Tell Kim Jong Il you know exactly when and where the US is going to invade North Korea. (You can get this, of course, on Fox News. Make sure to set your VCR on SLP for optimal results.) Trade the information to him for a healthy supply of plutonium and some Taepodong I's.

STEP 3. Get the weapon from its source to the country you took over in Step 1 above. The best way to do this is by boat. (CAUTION: Do not attempt to use a boat when travelling to and from a landlocked country with no navigable river access. You will die.) Then again, given the Transportation Security Administration's current state, you probably wouldn't have many problems bringing a nuclear device out of the United States by air, unless you concealed it in a laptop computer or pair of nail clippers.

STEP 4. Find a delivery method. The best method, of course, is by ICBM, but unless you happen to have a lease agreement with Kazakhstan, launching an ICBM will probably be beyond your means. We recommend Airborne Express, although a U-Haul works pretty well from what Timothy McVeigh tells us.

STEP 5. Congratulations! You now have the power to obliterate mankind! Cockroaches will love you forever.

a sekicho funny ha ha KABLAM! production.