Need help w/ starting a compost pile?

I have read the old answers on here and I am still confused. I have never made one before. Some say to cover it, some say to leave it open. I don't have a large backyard so I would like to cover it to lessen the bugs - will it still work? Some of the bins for sale are totally covered so how do they work? Can I make it myself and cover it w/ screen material so no animals and bugs are around it? We have lots of kids who run through our backyard too so I want something contained. Thanks for any info!