First you need to register a domain. You can do that here at this site:
http://www.virtuosonetsolutions.com/shop.php?cat=65& they also provide hosting of your website at a cheap rate.
The domain you want may not be available, so you may need to rethink the title or change it in some way like yourdomain.com or yourdomain.net or even your-domain.com
When you find one that you like, register it on the link above. You will have this for 2 years or more.
Once registered, it will have anything from 1 to 48 hours to become active. You then need to find hosting.
This is where your site will be stored. The link above will provide that if you need. Or you can find free hosting on Yahoo or Geocities, or even Lycos.
If you choose full paid hosting it will again take 24 hours for the domain to propergate and be activated.
You can then download the CMS Mambo software and upload it to your new domain via FTP. All these details will be given to you with the hosting. See the mambo install file and website for more information.
If you do require hosting for Mambo, get a hosting package that has PHP and MySQL, as its a database driven CMS (Content Management System).
If you need more info, let me know, but hope this helps for now.