Well assuming you have a team capable of programming and doing the art then you just contact the console company and ask to register as a developer. They will provide the forms and when you submit them they will decide if you are suitable.
Yeah, that''s true they will ask for huge amount of money. The funny thing is that when you sign up to be developer you develop mostly in the PC/MAC platform for the game. If you''re developing to then new PS/2 or X-box you have to have a burner that is able to burn onto those type of removable media they''re using. However, most of the time they give you a PCI card that emulates the console your working on...this usually cost 4x the amount of a console ?!?! Go figure.
And where do you go to learn to program for a console? Not like they have any for dummies books or anything on programming for a console.