Here is small example which will explain how to create a simple Magento payment module.

I hope that you know how to create magento module and I will skip this step.
First of all, you have to create in etc folder config.xml file with next content:

< ?xml version="1.0" encoding="UTF-8"?>
<config>
<modules>
<inchoo_mycheckout>
<version>1.0.0</version>
</inchoo_mycheckout>
</modules>
<global>
<models>
<mycheckout>
<class>Inchoo_Mycheckout_Model</class>
</mycheckout>
</models>
<helpers>
<mycheckout>
<class>Inchoo_Mycheckout_Helper</class>
</mycheckout>
</helpers>
<blocks>
<mycheckout>
<class>Inchoo_Mycheckout_Block</class>
</mycheckout>
</blocks>
</global>
<default>
<payment>
<mycheckout>
<model>mycheckout/standard</model>// very important thing, here you select the model for your payment method
<active>1</active>
<order_status>pending</order_status>
<title>CUSTOM CARD</title>
<payment_action>sale</payment_action>
<submit_url>https://someurl.com</submit_url>
<merchant_id>Insert merchant id</merchant_id>
<allowspecific>0</allowspecific>
<sort_order>1</sort_order>
</mycheckout>
</payment>
</default>
<frontend>
<routers>
<mycheckout>
<use>standard</use>
<args>
<module>Inchoo_Mycheckout</module>
<frontname>customcard</frontname>
</args>
</mycheckout>
</routers>
</frontend>
</config>

Next step: you have to create system.xml file also in etc folder with next content:

< ?xml version="1.0"?>
<config>
<sections>
<payment>
<groups>
<mycheckout translate="label comment" module="paypal">
<label>Custom CARD MyCheckOut</label>
<frontend_type>text</frontend_type>
<sort_order>0</sort_order>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>1</show_in_store>
<fields>
<active translate="label">
<label>Enabled</label>
<frontend_type>select</frontend_type>
<source_model>adminhtml/system_config_source_yesno</source_model>
<sort_order>10</sort_order>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>0</show_in_store>
</active>
<title translate="label">
<label>Title</label>
<frontend_type>text</frontend_type>
<sort_order>20</sort_order>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>1</show_in_store>
</title>
<order_status translate="label">
<label>New Order Status</label>
<frontend_type>select</frontend_type>
<source_model>adminhtml/system_config_source_order_status</source_model>
<sort_order>50</sort_order>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>0</show_in_store>
</order_status>
<submit_url>
<label>Gateway URL</label>
<frontend_type>text</frontend_type>
<sort_order>58</sort_order>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>0</show_in_store>
</submit_url>
<merchant_id>
<label>Merchant ID</label>
<frontend_type>text</frontend_type>
<sort_order>59</sort_order>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>0</show_in_store>
</merchant_id>
<allowspecific translate="label">
<label>Payment Applicable From</label>
<frontend_type>select</frontend_type>
<sort_order>60</sort_order>
<source_model>adminhtml/system_config_source_payment_allspecificcountries</source_model>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>0</show_in_store>
</allowspecific>
<specificcountry translate="label">
<label>Countries Payment Applicable From</label>
<frontend_type>multiselect</frontend_type>
<sort_order>70</sort_order>
<source_model>adminhtml/system_config_source_country</source_model>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>0</show_in_store>
<depends><allowspecific>1</allowspecific></depends>
</specificcountry>
<sort_order translate="label">
<label>Sort Order</label>
<frontend_type>text</frontend_type>
</sort_order><sort_order>100</sort_order>
<show_in_default>1</show_in_default>
<show_in_website>1</show_in_website>
<show_in_store>0</show_in_store>
</fields>
</mycheckout>
</groups>
</payment>
</sections>
</config>

In this system.xml file we create options for this payment method. These options you will see in admin section under payment method, also if you need additional options you can add them.

Last step: is creating model in folder model with file-name standard.php. This model is defined in config.xml file. Here is example:

< ?php
class Inchoo_Mycheckout_Model_Standard extends Mage_Payment_Model_Method_Abstract
{
protected $_code = 'mycheckout';
protected $_isInitializeNeeded      = true;
protected $_canUseInternal          = false;
protected $_canUseForMultishipping  = false;
/**
* Return Order place redirect url
*
* @return string
*/
public function getOrderPlaceRedirectUrl()
{
//when you click on place order you will be redirected on this url, if you don't want this action remove this method
return Mage::getUrl('customcard/standard/redirect', array('_secure' => true));
}
}

If your method redirect when customer click on checkout button place order you have to create (customcard/standard/redirect) standard controller with method redirectAction and etc. This page will create html form which will send POST data to payment gateway. All data which you need for creating this form you can get from Magento model $session = Mage::getSingleton(‘checkout/session’); and etc.

When you finish everything you will get next option in admin section:

I hope that will be helpful