How do you play magic square?

Could you please elaborate on the steps involved in playing a magic square? I'm particularly interested in knowing how one goes about creating and solving one of these intriguing puzzles. Are there any specific rules or strategies that one should keep in mind while engaging in this activity? I'm also curious about the different types of magic squares and how they differ from each other. Overall, I'm seeking a comprehensive yet concise explanation of the game that would allow me to grasp the basics and potentially delve deeper into its complexities.