The shofar is an animal horn, which was modified removing its inside material (keratin) and opening a 'mouthpiece' in its upper narrower ending. (See here how the Shofar is made). The most common horn used to make a Shofar is a ram's horn. When blown the Shofar emits a deep loud sound. The sound is produced by releasing air through its mouthpiece.
If you try to blow a shofar do not place it inside your mouth in between your lips the way you would blow-up a balloon. Place iton your lips on the side or in the middle. You should blow air with your lips tightly closed emitting the sound of the letter 'P' and vibrating your lips as you release the air. Don't inflate your cheeks and don't force your lungs. Breath as normally as possible. The most difficult part of the whole process will be to adjust the position of the Shofar on your lips avoiding air to escape from any other point of your mouth.
The Shofar produces one sound. In Rosh haShana we play three different voices using the same sound. The three voices have theoretically the same length. The first one, Teqi'a, is a plain uninterrupted sound. For the sake of illustration let us imagine that the teqi'a lasts for nine seconds (in reality it lasts less than that). Then we have Shebarim: a sound divided into three smaller units. Following our example, each unit of the Shebarim will last for 3 seconds. And finally Teru'a : a sound, consisting of nine smaller units, each unit would last for one second.
The typical formula of Shofar voices consists of the following combination:
teqi'a/ shabrim-terua/ teqi'a.
teqi'a/ shebarim/ teqi'a
teqi'a / teru'a/ teqi'a.
In Rosh haShana this formula repeats itself several times until we reach more that 100 sounds.