Hi Rachel,
I don't think there's any major rules as to when you have your baby shower but usually people have it some time in the 3rd Trimester. As Ally said, you don't want to leave it toooo late, JIC
You can organise it yourself or get a family member or a friend organise it for you. My sister organised mine (but I had a lot of input).
You can make it as formal or casual as you like. Often people play games (you can find stacks online if you google baby shower games). I had a few games going at my baby shower but I didn't want too many because all the girls love to chat and the games can sometime disrupt that.
People will bring gifts (whether you want them or not) so you may aswell help them out by giving them some idea of what you need. In my invitations I included a little list of gift ideas. Basically I wrote everything I needed down then broke them up into things you can have multiples of (like singlets, towels etc.) then things that you only need one of (baby bath, nappy bucket etc.). I then roughly divvied them out onto lists making sure everyone had a few options from not so expensive to something more expensive that they might like to contribute to. I got some lovely presents and it was wonderful because so much of what I needed was covered in the baby shower!
I've been to baby showers that have been held at restaurants, parks, loungerooms - anywhere you will be most comfortable.
Basically it's a bunch of chicks getting together and getting clucky over you and your soon-to-arrive baby. Let them dote over you and enjoy your special day It's great fun!