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Moving 401k balance into self-directed IRA
Your question asks "how" but "if" may be your issue. Most companies will not permit an external transfer while still employed, or under a certain age, 55 or so.  If yours is one of the rare companies that permits a transfer, you simply open an IRA with the broker of your choice. Schwab, Fidelity, eTrade, or a dozen others. That broker will give you the paperwork you need to fill out, and they initiate the transfer.  I assume you want an IRA in which you can invest in stocks or funds of your choosing. A traditional IRA. The term "self-directed" has another meaning, often associated with the account that permits real estate purchases inside the account. The brokers I listed do not handle that, those custodians have a different business model and are typically smaller firms with fewer offices, not country-wide.