If they're short stories, unless you're an already-established author, you'll have to publish them yourself.
Two sites I recommend:
http://www.lulu.com
http://www.cafepress.com
Both are low- to no-cost options that are well thought of in the writing community.
If you're talking about novels...well, it depends on you.
If all you want is to hold a book in your hands...try the 2 websites I mentioned above.
If you want a career as a writer, you'll have to go the query, literary agent, publisher route. This can take some time. If you go this route, be prepared to be persistent, as it will take time for you to understand how to write stories that entertain your potential readers.
A few things to help you out:
*Pay attention to the basics, like grammar and spelling. If you do this, you'll be ahead of 95% of the people sending in first chapters, partial manuscripts, or full manuscripts. You can start by checking your posts (like here on Yahoo Answers :-)); once you get into checking your spelling and grammar on a regular basis, it will become second nature to you.
*Go to a writing community and get feedback on your writing. One I recommend is:
http://www.absolutewrite.com/forums
There are forums on all sorts of things related to writing, not just novels. You can just lurk and gain some insight on the ins and outs of the publishing world (which is weird beyond belief! :-)) so you won't get taken in by scam literary agents or scam publishers.
*Don't click on Google ads in searching for a literary agent or publisher. Think about it: If you're a legitimate literary agent, you'll be receiving hundreds of queries/partial manuscripts a day; why would you need to advertise for clients? (Answer: You don't, because you place your clients with legitimate publishers, and advertise THAT fact on your agent blog or website.)
*Going the self publishing route with novels is a very tough sell. If you think it's hard going the query/agent/publisher route, self publishing is even harder. Reason? You and your book are unknown, unless you have a big presence online. (FYI, Christopher Paolini's parents had a small press, so they already knew the publishing biz and what had to be done to get his first book out in front of the right people.)
In summary:
*To have just your book in hand so you can show your friends that you actually have a book, go with the first 2 sources noted in the source list.
*To have your book published with either a big or small LEGITIMATE publisher, go the query/agent/publisher route (where the agent will take care of offering it to publishers for you, among other things). See the 3rd source in the source list for some great tips and advice. Alternatively, you can go to my blog (yes, shameless plug! :-)) where I try to steer people clear of scams of all sorts, and other writing-type stuff (see the 4th source in the source list).
Good luck with whatever you decide to do.