Maya's help files takes you through the process step by step and it is very easy to understand. Be careful when you read tutorials on-line about fur because some things have changed in Maya 7 (if that's what you have) Most of the on-line tutorials tell you how to make fur move using a technique that is no longer used in Maya 7. Maya 7 fur moves by attaching a hair description to it that moves the fur (you don't have to see the hair if you don't want to). It's actually very easy.
The hardest part about fur is when you are using a polygon model. You really have to set up the UVs well or else when you try to paint the fur attributes (baldness, length, etc) you will get some strange results. I figured this out the hard way. Now, instead of using the auto UV function or one of the other automatic ways to set up UVs, I do it by hand. Lay them out smooth and with none of them overlapping but also make them as continuous (one piece) as you can. The Maya help files will tell you what you need to know.
I hope this helps.