Hiya!!!
Not a stupid question at all... I was asking it myself only about 2 months ago and since then I've been part of at least 6 exchanges LOL! They can be addictive....
Basically, keep an eye out for an exchange starting up (a handy place to go, even if I do say so myself, is my 'Exchange Index' which has been housed at the top of the Community Board since the middle of July. You can also find the link to it in mine and Nancy (Meriweather)'s signatures!
When you see one you fancy joining in with (currently there is only the Regional Cookbook one still open but more open up all the time!) you just PM the organiser with your details: real name, DIS name, home address and how many you want to participate for. One means you send one package and you get one package back, two means you send two etc...
Then, when the sign ups close (the organiser will put a date for this on the sign up thread) you will receive a PM off the organiser with a name and address, head out, buy something that fits the exchange (and some extra little goodies if you want to

) and mail it off to your person. It's like a secret santa!!!
Someone will start a 'I sent/received my....' thread and you post on there to let everyone know when you have sent and (even more fun!) when you receive you post on there too to say thanks to your exchange person and let everyone know what you got!!!
I hope this is not *too* long of an explanation, as you can see I'm quite enthusiastic about this LOL and I didn't want to miss anything out.
Finally, and most importantly.... do join in, we'd love to see you on the threads!!!
Have fun,
Gaspode