To write a short story

I was on Bec's Blog the other day reading about getting things done. Well, I've been dabbling with writing my story as a child growing up for some years now, but have been away from it for quite a while. So I made this bold statement in her blog that I was going to write a short story. Which I have begun, although at this point it's very short. I having a bit of trouble trying to figure out how to go about it. I mean, I don't really have a plot nor and end. I guess you can understand the difficulty in this project. So, Bec happened to send me a quote; “You write your first draft with your heart and you re-write with your head. The first key to writing is to write, not to think.”
-- Sean Connery. I thought that sounded like good advice and have been thinking about how you actually accomplish that.

Then, last night I watched a movie called Finding Forrester, which is, basically, a store about mentoring. It's a great movie and if you haven't seen it I would highly recommend it. So in this movie, that stars Sean Connery, is this exact quote that I mentioned above. I was blown away, what a coincidence that was.

In it, they simply sat down at a type writter and wrote. I'm trying to figure out how this would work. I mean don't you have to know the basic story and it's end before you start writing? Can you really just let your mind wander around with random thoughts and actually create something? I wonder.