Ask a friend to host. According to etiquette books (a point disagreed with by most of the young women on MedHelp), one does not throw a shower for oneself. One advantage of having a friend host it for you is that they probably know what to do to throw a shower. :)
Food, games, prizes and gifts is what it consists of. Just normal BBQ food that you would have at any gathering. You can go all out with a big theme and decorations me personally I have no theme just a blue and yellow color scheme themes tend to be more expensive. I have 7 games which are listed in my journals along with the prizes I'll be doing.
Mostly play games and eat. You can google baby shower games and find some really great ones. After you're done with games and eating you open your gifts and at the end thank everyone for coming! Is someone giving you a baby shower or are you doing it yourself? Also, do you have a host?