First, you get an allergy test to identify what you are allergic to: tree pollen, mold, pets, dust mites -- the whole roster of possible allergens. That's generally done with a scratch test, in which you are checked for an allergic reaction to as many as a dozen allergens at the same time and get results in about 20 minutes. You might be given a blood test first, but a blood test isn't always a reliable way to identify what's bothering you.
Once the allergist knows what you react to, he or she creates a regimen of SLIT allergy drops that contain small amounts of those allergens. You give them to yourself at home every day (no weekly office visits for immunotherapy injections; that's the standard approach). Over many months, your exposure to the allergens is increased and you may become desensitized to them. For some people, allergy symptoms don't go away; for others, they become milder or even disappear.