If you're looking to host the guestbook yourself, start by identifying what type of web server you're using - Apache, Microsoft IIS - and do some research on the guestbook apps available for your platform. You'll want to install one of these applications on your site, which can be extremely tricky if you're not very technical. Pay attention to the read-me's and FAQs provided with the software -- they will either be tailored to non-technical folk or not and it will be very obvious!
If this already seems scary, I'm sure there are a bunch of good hosted solutions you can look into. Do a Google search for 'guestbooks' or 'free guestbooks'... you're sure to stumble across something worth following down.