Ok here you go. Follow these steps exactly. I will try to be as detailed as possible.
1) Recovery is important. Like I said before, Recovery is what lets you flash updates to your phone, back up stuff etc. There are several different recoveries that can be installed on your Evo. There is none better than this one. Amon RA 2.3. Download it here via this thread
[Recovery] [09-Feb-2011] RA-supersonic-v2.3 - xda-developers
You want the file in the Download section of the first post that is titled PC36IMG.zip. You will want to download this file and place it in the Root of your SD card. This means to put it in the top level directory of your sd card, so don't put it in any folders. On my computer, the phone will default to the F Drive when I plug it in. So I just open the F drive on my PC and paste the zip file there. DO NOT extract the zip file. Leave it in zip format.
2) The second part of this is that we need to get you a Sense based rom. IMHO, the best one out there is MikG 3.11. It's an upgraded version of Sense over what the stock Evo has, and you can do everything with MikG that you need to be able to do, like get it activated (someone correct me if I'm wrong). Link is here:
MikG v3.11 [3/9/2012]
You want the file called MikG 3.11 Full Wipe
3) Ok, you have your downloads that you need. Again, both files should be left in zip format. The PC36IMG.zip file needs to be on your SD root like I said above. Just put MikG somewhere where you can find it...leaving it on the root of your SD card is just fine as well.
Now you need to power off your phone like you did before. Hold Volume Down and Power at the same time. This time it should scan for files and find the PC36IMG.zip file and it will prompt you to update. You need to select YES by pressing Vol Up. When it asks you if you want to reboot, choose NO by pressing Vol Down. Now you have your recovery installed. Scroll down to RECOVERY with the volume buttons and hit power to load up recovery.
4) For good measure, make a nandroid backup. Go to the backup/restore menu and hit power. Choose nandroid backup, select all the options you have available. Start making your backup.
5) After it finishes, back out to the main recovery menu. You should see an option to WIPE. Hit that. You want to wipe absolutely everything ***EXCEPT*** SD Card. Do not wipe your SD Card. I always wipe Data/Factory Reset, Cache, Dalvik Cache, Boot and System. Back out to the main menu in recovery again.
6) You should have the option to Install Zip from SD Card. Select that. Find where you had MikG stored on your SD Card and flash it. Let it do it's thing and it will automatically reboot. You're done!
You can download any number of roms and flash it pretty much the same way. So use this as a guide. Good luck!