There are various approaches like Slideshows, ToDo-lists (achievements) or guided tours.
The one to chose depends on how your website (i think you really mean 'web app' as websites should never need onboarding, IMHO) is organized and what you expect the users to to with it.
If it is a highly interactive app with a lot of tools where users can create things (e.g. drawing) its best to have a guided tour or an interactive tutorial. Giving the user a task and showing him how to archive that task. (Task: "Draw a circle in this area"). This technique is rather time consuming to implement. But promises the best learning and user connection result.
If your app is more focused on consumption (e.g. feed reader) an annotated screenshot might be enough.