Step 1: Measuring and drilling

For each shelf, cut two pieces of MDF to the desired depth for the sides, and cut one piece for the top and two pieces the desired length for the front and back.
Mark the wall where you want the top of the shelves, using a spirit level to make sure the marks are even.
For each shelf, hold the back piece below the marks next to the wall and drill two holes into the wall through the MDF. Take the MDF piece away and place wall plugs into the drilled holes in the wall.