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Step-by-step build — 4 steps. Also available as a print sheet.
Dig post holes roughly a third of the post's total length deep (a 4-ft-deep hole for an 8-ft post is typical, less on a sloped or rocky lot). Set posts in concrete, brace them plumb with scrap lumber while it cures, and don't touch them again until the concrete has set.
Once the posts are set, attach the top rail first and work your way down from there. On a sloped lot, measure down a consistent distance from the lowest post at each post along the run, and use a level to keep the rail level end to end even as the ground underneath it isn't.
Add the bottom rail, inset from the front face by about 1/2" for a cleaner shadow line. Attaching it with pocket screws driven from behind keeps every visible screw hole out of sight — they'll be covered by pickets anyway, but it also means no exposed fasteners for water to collect around.
Nail the pickets to the top and bottom rails with a consistent gap between each one — a scrap of wood cut to your target gap width makes a fast, repeatable spacer. Check every third or fourth picket with a level as you go; small drift compounds over a long run.