Here's how an IPO works: A group of brokerage houses agree to underwrite an IPO, price the shares to probable market demand, then sell those shares to investors. When IPOs are a hot commodity, those shares go to favored customers and big institutional buyers.

The average investor can buy only after the shares hit the market -- these days often at a price far greater than their initial price. So the first step is to get in a position to get a shot at an IPO. Once you're offered a slice, then you can begin to worry about whether you want in.

The way in is through your broker -- but not just any broker. If IPOs are on your horizon of ambitions, you must select your broker with this in mind. This means doing business with brokerage houses that have a good record on IPOs. (As the underwriter, the investment-banking arm of these brokerages' financial firms buys and then resells the shares.) It also means choosing an individual broker in this organization who will scratch your back if you scratch theirs.

Scratching their backs, of course, means bringing them trades -- buying and selling stocks through them, generating the commissions that put braces on their kids' teeth. For retail investors, this simple quid pro quo is the only way to get on the favored list of phone numbers brokers call when they have something appealing to pass out.

Many brokerages tend to nurture the widespread misconception that they have no control over whether they can get IPO shares their company is underwriting. Don't believe it. They can usually get a piece of the action, especially for their better (i.e., more active) clients.

The key, then, is for individual investors to qualify brokers with this goal in mind: If they can't get you IPOs, you don't want to do business with them in the first place. David Menlow, president of the IPO Financial Network, a firm that projects opening prices for clients, advises investors to put prospective brokers through some unyielding hoops by asking:

Do they currently get IPO allocations? "Out of 50 brokers in the office, six or seven might do IPOs," says Menlow. "You want to know whether a broker is one of these before agreeing to trade through them."

If the answer is yes, ask them flat out: What do they need in terms of business from you for you to get on their call list when they're passing out slices of IPOs? This is the best way to avoid ambiguities and misunderstandings down the road. Instead of assuming that you'll get a shot at IPOs, it's best to reach an explicit understanding at the outset.

If you know your brokerage's underwriting arm is handling a given IPO, and your broker comes back and says no shares are available, it's probably time to find another broker.

Next: Be careful what you wish for