How does ICO work?

As a cryptocurrency enthusiast, I'm curious to know how Initial Coin Offerings (ICOs) work. Could you explain in a simplified manner the process behind it? What are the key steps involved? How does a project initiate an ICO? What kind of value proposition or incentives do investors receive in return for their investment? Also, could you elaborate on the risks associated with ICOs and how investors can safeguard themselves? Understanding the intricacies of ICOs would greatly enhance my knowledge in the field of cryptocurrency and finance.