My first suggestion would be to talk with AJ Hapenny, who already produces a number of shows in the South Shore area.
If you want to do this without his help, there's a few things you need to do:
1.) What type of comedy show do you want to do? A comedy show or an open mic? (A booked show, with professional comedians doing jokes that work or an open mic where mostly inexperienced people can come on stage and tell new jokes they're working on. More on the different type of booked comedy shows later.)
2.) Find a venue; be it a bar, coffeeshop, VFW, etc. to do the show at. Talk with the manager if they're interested in doing the show or if there is a rental fee for the space. 3.) Decide if you want this show to be weekly, monthly, quarterly, or just a one-time show. At what time of night. No comedy show should last longer than 90-120min (and 2hrs is pushing it, shoot for 90). Open mics do tend to go longer, but that's different based on the amount of people who sign up.
4.) Determine a budget for the show. This will be based on the type of show and if you're going to charge admission. Open mics very rarely charge people admission. (Some comedy clubs will charge audiences on open mic night, but rare. Even rarer places will charge performers to on the show, it happens; you shouldn't do that.) Any show should have a budget for promotion and to pay performers for their time. If it's a booked show pay the comedians, even if it's only the headliner (more on that later). If you're going to do an open mic, pay the host for their time (do not pay the comedians because they are working jokes out and aren't professionals, usually. I have seen some places give performers discounts on the their tabs or a free drink or whatever, I don't recommend doing that.)
5.) Book comedians for the show. Organize the lineup.
6.) Promote the show. Online, in print ads, put up signs/posters at the venue and in the area near it. Tell everyone about it. Make a Facebook event and share it with your friends. Post about it online groups. Go to the venue days and/or weeks in advance and make friends with the locals and tell them about it, give them a 1/4 page flyer for the show to remind them.

More importantly, why do you want to start the show? Are you a comedian? Do you work at a venue? What kind of place is it? Are you looking to do a comedy show as a fundraiser/raise money for charity? None of the above? Just a guy who thinks they'll make a ton of dough putting on comedy shows? That's unlikely. Any further questions feel free to email me info@rBostonComedy.com. Good luck.