This is quite a broad topic, one that I have moved to the Essay Lab, as it seems to follow that if you would like "steps" to analyzing a work of literature, that you are intending to create an essay about that work.
The first step is to select the work itself that you will analyze. It is certainly possible to select two or more works to analyze, but you will do yourself a great service, in this case, if you select a type of character or symbol or plot that is shared in common between the works. In this way, you will have something specific to compare between them. For example, you might look for symbols between two or more works that represent "innocence" or "evil" and analyze how the symbols operate in similar or different ways in each work.
Enotes has provided a step-by-step process for creating an essay on a work of English literature. Of course, if you are working with World Lit., then you could substitute that for "English" and still find this process very useful. In summary, the steps are these:
To write a good essay on English literature, you need to do five things:
1) Understand the purpose of writing essays about literature.
2) Understand how to understand a work of literature.
3) Define "English."
4) Focus your essay.
5) Write your essay.
If you follow the "How to write a good essay" link below, you will find these steps discussed in detail. I have also provided a link to more information about literary criticism and one to tips on writing a comparison/contrast essay.