Cacti require a very open and free draining compost, so you can either mix 1/3 sand, 1/3 compost and 1/3 perlite, or you can buy a special cacti compost (I use John Innes No 2). Never use garden soil or old compost that has been lying around. Don't use builders sand or grit either.
Most garden centres sell cacti seeds, I simply purchased a mixed cacti seed packet from B&Q which has an average seed content of 180 seeds. The seeds can be sown at any time during the year, but I found that early spring (April-June) to be the best time.
Fill a seed tray with compost, pat it down to eliminate any air pockets and level it off with a straight edge. Carefully sprinkle the seeds evenly over the surface. Larger seeds can be placed on the compost, approx 2cm apart to prevent overcrowding, while smaller seeds can be sprinkled, or mixed with sand to scatter them easier. Cover the seeds with a fine layer of compost and stand the tray in another tray of room temperature water. When the water rises to the surface remove.
It is vital to maintain a high level of humidity for germination, so a propagator is essential. If you do not have a propagator, you can place the glass over the top of the tray, or use a plastic sheet. Keep the temperature between 20-25C daytime and a minimum of 15C at night. Relative humidity should be around 90% or so.
You will need to mist them daily with a pump bottle. Don't let the compost dry out and don't saturate it. Both extremes will hinder germination. Under these conditions, seeds may germinate within a week, otherwise, they will take significantly longer.
Cacti seedlings are prone to damping off fungi, but an application of Cheshunt Compound can help prevent this.
Once the seeds have germinated, they should receive plenty of light, either natural or artificial. If growing under natural light ensure that harsh direct sunlight cannot reach the seedlings as they will burn.
Over a period of months gradually accustom them to lighter and drier conditions, watering less often, but more water. After about six months they can be treated like other cacti.
When the seedlings are large enough to handle, you can repot them into individual containers or pots. I have transplanted them into a segregated tray which houses 24 individual seedlings.