The first step is finding a secondary source and looking at its notes and bibliography. That will give you a sense of what kinds of sources there are, and where they are kept. Doing this repeatedly for many secondary sources will give you a very decent understanding of what has already been looked at. Once you have that, you will also have a sense of where to look for more — which libraries, archives, etc. tend to have these kinds of records. At which point you can look at the collection listings for those places, look at Finding Aids, and so on.

This is how one does it as a historian, generally speaking. If you are doing this to write a research paper for a class, ask your professor — they'll have ideas depending on the specific topic you're looking into. The specific answer will vary depending on the topic, what time period it is from, what language, etc.