I'm sure there's variables, but your company will most likely setup something with a brokerage and then you'll have to create an account there and have an employer equity account which will track your options. When you exercise them, the shares will go into your regular brokerage account and you can trade them like anything else (potentially subject to trading windows and other temporal conditions). Once you've got shares, you can transfer them out to a different brokerage if you like paperwork.
Hopefully at a decent brokerage like e-trade or fidelity or schwab or even whatever Merril Lynch is called these days, and not ComputerShare, which is terrible.