There is a wealth of great information on the WSS 3.0 Data View Web Part (DVWP) on the web from several sources.  However, I found it to be surprisingly difficult to find information on this first very basic step.  Here is another article in the "quick and easy" series to address it.

Follow these steps to create a data view web part (DVWP).  They are based on an "Announcements" web part, but apply to most lists.

1. Create an Announcements web part and add it to a site.
2. Open the site in SharePoint Designer.
3. Open the site's default.aspx.
4. Select the Announcements web part and right-click. 
5. From the context menu, select "Convert to XSLT Data View".

SharePoint Designer notifies you that this site is now customized from its site definition. That's not necessarily bad, but there are important implications (performance, upgrade, others) which are beyond the scope of this little "Quick and Easy" entry.  To get more information on this subject, I recommend both books here as well as your favorite Internet search.

Confirm that you did it correctly:

1. Close and re-open the web browser (to avoid accidentally re-posting the original "add a new web part").
2. Select the web part's arrow drop-down and choose "Modify Shared Web Part" from the menu.
3. The tool panel opens to the right.
4. The panel has changed from its usual set options to this:

At this point, modify the XSL to your heart's content.