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Choose a time period and locale: You can set your story in any time period or place, as long as you have enough knowledge of that moment in history to give your story verisimilitude. You must be able to make the place and time believable. I read a series called Historical Detectives by Mike Ashley. There are mysteries set in Ancient Rome (Steven Saylor's "Gordanius the Finder" stories), Greece, Egypt (Agatha Christie's Death Comes at the End), 4th century China (Robert van Gulik's "Judge Dee" stories), the Middle Ages (Ellis Peters' "Brother Cadfael" mysteries), 7th century Ireland (Peter Tremayne's "Sister Fidelma" series), and even pre-recorded time.
A general adage is to 'write about what you know.' If you grew up in Kentucky in the 1980's or Lebanon in the 1940's, use it! You will know details that we do not. If you were raised in a particular culture or religion, use those details.

Choose your primary setting. A school, hospital, ship, archaeological dig, museum, library, old house, apartment complex, church -- you are limited only by your own creativity!

Develop a detective: Based upon your selection of setting, create a detective appropriate to the place and age. Again, write about what you know. Your detective can be of any age, occupation, gender or nationality. It could even be an animal (consider the great cat detectives Koko and Yum-Yum, created by Lilian Jackson Braun).
Your detective can be an official agent from any county: Agatha Christie's Poirot was a Belgian from the Surete and Ngaio Marsh's Roderick Alleyn was from the CID (Scotland Yard). Your detective can be helpful to the official force, or she can be completely on her own. It could be child or group of young teenagers like the Three Investigators (Robert Arthur).

Your detective may be an actual detective, but could have a different occupation altogether. Your detective could be a priest, pharmacist, garbage man, librarian, construction worker or mail carrier! A child or teen is naturally a student. Again, write about what you know!

Outline the crime: Every detective needs a crime to solve. Based upon your detective, place and time, choose an appropriate scenario. It may involve murder, theft or a simple local incident that affects only a limited group of people. Sometimes it's a riddle or oddity that doesn't hurt anyone, but is unusual and creates a problem. And sometimes it's a simple puzzle that has dangerous consequences for someone!

But whatever the problem or mystery, it needs to be outlined and explained, step-by-step in sequence. Create timetables for yourself to show when things happened. You can draw out a helpful map if necessary. This becomes the plot.

Include some clues: Scatter some details that a witness may notice but not understand. You can choose general clues like footprints, weapons or food, but don't make them boring and repetitive. At the same time, don't make them so complicated and convoluted that only an expert would have any knowledge of them. Above all, make them intriguing!

Identify the MMO: Every crime is based upon three factors: Motive, Method and Opportunity. The motive is the reason a character would do something like commit a crime. The method is how the problem came about or the crime committed. The opportunity involves who was nearby when the problem happened or the crime was committed (who had an opportunity to commit the crime).

Identify the alibis of the suspects: According to the timetable, decide who was where and when at the time the problem occurred or crime was committed.

Provide a climax: Generally, a situation occurs which brings all the events together. It's usually an event or some moment of tension or drama. The climax should contain an element of surprise; you might include some danger or disaster. Someone might be saved from the brink of death. It is this event that ultimately sheds light upon the mystery.

Write your denouement: This is the resolution of the mystery. This is when secrets are revealed and you wrap up the loose ends of the story. Some details will reveal themselves and your detective can articulate the rest: the what, who, when, where, how and why!

Summarize with a short conclusion. Here is the final outcome of the story, and where we leave our beloved detective. You might even give a few hints about her next adventures!