This site has great information how the whole process works.
Once you've read about them and want to create a SPF record, You Can Create Your SPF Record Here that you want to add to DNS for your domain.
Once you've created the SPF record (Example of what it would look like: "v=spf1 mx a:infoquest.com include:efilter.infoquest.com -all" )
You would login where you doing our DNS and add the SPF record entry to your DNS zone.
If you don't have access to add entries to DNS for your domain, cut and paste the SPF records you've created at the link above into an email and send it to your provider that is doing your doing your DNS for you and have them add the SPF record for you.