How to learn a new language by our own?

It really depends on which language you want to learn. You should definitely get some CD's that teach you how to pronounce words, and it would be good if you could buy some books too. One that I like is Schaums Grammar, they have it in many different languages and they also have vocab books.
Some languages have really complicated grammar and some languages have a lot of vocab that you will have to learn. You just need to focus on the areas you have difficulty with.
And another hard thing about learning a language by yourself is that you don't have a teacher to supervise you, so if you decide to be slack you just don't learn...
Anyway, I hope this helps! Good luck

you can get computer programs that teach you...

immerse yourself in the native land... Start naked, then you will be very motivated to learn the words, "can I borrow a towel?"

Go to the libary and get language tapes or CDs and the listen and practice. Or, you can online - there are some sites that are free and you can learn teh basics of a language. Right now I'm playing around with Mandarin Chinese - very difficult because it is tonal and your inflection changes the meaning of the word. I

You can only learn so much on your own. Textbooks, CDs, and language software are great tools to start with, but if you plan on ever becoming fluent, a trip to the country where that language is spoken and interacting with native speakers is a must. In order to fully understand a language, you have to understand the culture that goes with it.

And often, the form of language taught in books or classrooms is not the way people really talk conversationally. It is usually very formalized, depending on the language, so if you go out on the street, you may still not understand people because of all the idioms and slang they use.

Good luck, and have fun with it! :-)

From books and internet.

there's this site where u can talk to other ppl and learn new languages and so on....u should check it out! sharedtalk.com

What language you are going to learn? I think chatting with native people is one of the best way, but you might find it hard to get the right person.
I have a website in learning Chinese Mandarin online for free (learnchineseeveryday.com). Hope can help.
Good luck and have fun... :)