First, you must enter the Underworld, which is the bottom most layer in the caves. Next, find a Voodoo Demon in the Underworld. These are quite rare, it might take a while for you to find one. Lastly, throw the Guide Voodoo Doll it drops into lava. This will start the boss fight.
Some notes:
- It is recommended to get the best gear you can before fighting the Wall of Flesh
- When you beat the Wall of Flesh, your world will turn to Hardmode, which includes harder enemies, better items, more bosses, and a new biome called "The Hallow", which has unicorns and fairies that could kill you.