Well, it may not be possible. If you have a laptop, it is generally not possible. You need to use an external (usually USB) drive.
If you have a relatively modern desktop, it has SATA connections. In that case, you get another SATA drive, connect it to the computer motherboard with a SATA data cable and SATA power from the PSU, then initialize it. Windows Help can step you through the process.
Only if you have an old computer with PATA (also known as IDE) connection, do you need to set up a slave drive.