Step 1 - Enable Wake on LAN
Most motherboards today have a built in NIC and support Wake on LAN functionality. You'll have to go into the BIOS Power Options to enable it. The process is different in each motherboard, but pretty straightforward.
On an Intel CPU ASUS P4C800 board, the option is called Power On By PCI Devices in the APM (Advanced Power Management) menu. On an AMD CPU MSI K8N board, the option is called Resume by MAC LAN.
Figure 2 below is screen shot from a laptop BIOS. You can see the option is called Power Management and there is a selection for Wake on LAN.
Figure 2: A view of a laptop BIOS
If you're using a separate PCI LAN card, you'll have to enable WOL functionality for PCI devices in your BIOS. Note that if you're using an older motherboard with a PCI 2.1 or older bus, you'll likely need to connect a 3-pin WOL cable from the NIC to the motherboard. This cable is typically not needed in newer computers using a PCI 2.2 or newer bus.
Finally, check the Advanced Properties of your network card. In Windows, go to Start-Settings-Network Connections to ensure Wake functionality is enabled. An example is shown below in Figure 3.