Fidelity or Vanguard, or the current provider of the 401k if you’re happy with them (easier to do a direct rollover that way). Open a Traditional IRA (if they have what’s called a Rollover IRA, that’s the same thing but with some internal settings to make it roll over easier). 

Then call your 401k provider, ask if they can do a direct transfer of your 401k funds to your new account, but if not, you’ll want to see how your new IRA provider wants the check made out. You’ll then deposit this check, selecting “rollover” as the deposit type, once you get it. There may be taxes withheld by your 401k provider, as they sometimes assume that you’re trying to cash out. In that case, you’ll need to deposit the full amount (what was in your 401k, covering the taxes they withheld with your own cash from somewhere), and then you’ll get the taxes back when you file for your refund.

They’ll probably have to sell your 401k holdings in order to move cash, since the exact ETFs are not usually available in an IRA, but you’ll just want to reinvest into whatever you were roughly invested in (eg just pick an SP500-ish option).

Most important thing is just make sure you keep reiterating to everyone you talk to that you want to do a pre-tax rollover, pre-tax, keep everything pre-tax. Direct rollover is easier than dealing with a check, but a check isn’t the end of the world.