A hen will incubate or set on her eggs when she is "broody." Her body temperature and the conditions in the nest provide the appropriate conditions to hatch baby chicks.
If you don't have a broody hen to incubate your eggs, you might use an automatic incubator to provide the appropriate environment. Those can range from the gigantic walk-in incubators that hatcheries use, to small tabletop versions you can use in your home to hatch just a few at a time.
Pictured: a Brinsea Home Incubator
Read more about successful home incubation of chicken eggs in our Free Guide to Incubation and Hatching.