How do you activate a new phone with T-Mobile?

Hi! I'm new with T-mobile and I just have a lil question. If I were to buy a T-Mobile phone from someplace other than their stores, how would I go about activating it? I don't know how the whole thing works at all. Sprint phones were a tad easier to understand. I don't know how the Sim Card thing works, or if a 'clean ESN' applies to this case at all. Just let me know what you know, and that would be much appreciated. Thanks!