There is a lot of good advise here but something that was not brought up is the dropouts. If your road bike has vertical dropouts then you can't turn the bike into a true fixed gear bicycle. The dropouts are the slots that the axle of your wheel fits into.
However if you have a bicycle with semi-horizontal or horizontal dropouts then you can convert the bike into a true fixed gear. As mentioned above, it will require a special type of wheel that you can thread a fix gear cog and lock ring on to. Unfortunately you can't use a hub with threads for a freewheel because if you try to skid stop you will unthread the fixed cog.
If you are just trying to turn it into a single speed you can ignore the above information.