In principle not different from designing a website for desktops and laptops. But the screens tend to be smaller and the connection speed might be slower.
http://modernnomads.info/wiki/index.php?page=Optimizing%20a%20website%20for%20mobile%20devices gives some useful hints. Also, look around at sites optimized for mobile use and compare with the standard page.
I am trying to a design a website for mobiles and PDA's. I would like to know from where i should start? I need a step by step guide, I would appreciate your help.