Go on youtube and type in "Dungeoneering Guide". You should get tons of results. You'll find at least a couple of them helpful, and they should be good enough to get you started on the skill.
You start at Daemonheim. It's in the northeast side of the wilderness. Look on the world map, it's not hard to find.
After you get daemonheim, there will be an instructor that will show the basic steps and how to 'dungeoneer'. For further steps, I recommend you Google and Youtube some guides.