First, the hardware in your motherboard does a basic check to make sure the minumum number of components is present such as RAM, video out, hard drive, keyboard, mouse etc.
This is why your keyboard flashes when you boot your computer.
Then, the program embedded in the motherboard finds the boot sector of your hard drive, and looks for an operating system there.
If it finds it, then it passes control to the operating system, which then begins to load itself into memory, and do things like load device drivers and such.
If you are interested in the steps the operating system is taking, you can press F8(assuming Windows here) while your computer is booting, and that will give you some options for booting. I believe one of the options will let you see what the OS is doing step by step in its load.
Windows comes with a utility called msconfig which allows you to see all of the things that the OS loads.