To start off, go to the New Mystery Shopper section of the forum and read through the threads at the top of that section. Start with the "Nuts and Bolts . . ." to get an idea of how this works. Then there is a list of about 200 companies here at the top of the Mystery Shopping Company Discussion area with links to sign up. When you start shopping I would encourage you to go to Jobslinger.com and see what companies are or have recently been shopping in your area so you know with whom to sign up first. Jobs are most frequently posted on the company's job board, though some companies contact you by email directly.
Please be careful. Companies that send you money up front are bogus. That is not the way the industry works. While that might possibly happen at some point during your shopper career, it will be based on a long term relationship with the company. Do not pay to shop, it just isn't necessary and in most cases will net you little more than you can get for free on this or other forums. As soon as they ask for money or for you to sign up for 'special offers' you have exited the realm of legitimate shopping.