I've done many campaigns, some good, some not so good. There's no short, simple answer to give you though. People have made some good suggestions.

Basically, you have to be prepared in advance with what you intend for the story/campaign, and for any sidetracking from that which the PC's may take. You want to have a cohesive story running, and a purpose to what the PC's are doing, but you can't lead them around like children playing Fable-2. Sometimes they do things you would never have imagined or prepared for, and you have to work it out on the fly. Some DM's like to have things comletely open with the PC actions determining the path, others (I include myself in this group) have a predetermined purpose/path for the PC's and then work to have them follow-it within the choices they make. Give them some history, provide some hooks into the story, give them choices about how they will start out, and then adapt/modify what you have in mind to how they play. You control the world, so changing things on the fly, while keeping the main story moving forward, appears pretty seamless to the PC's when done well. It's not easy however, so be prepared to have stumbles and hiccupps and some confusion.

Bottom line: Be prepared (lots of work during the week leading up to the game-session), know your players, be flexible, and keep in mind it's about having fun. It's easy to become bogged down in details, which can remove the fun from the game....sometimes you just have to let things go and wing-it.