You can do it. Shoot, peppers have been sprouting in the wild for a long, long time with no human intervention...we just need to create the same type of environment to germinate them when we want them to germinate.
Plant a couple of seeds in each styrofoam cup (space them about an inch apart) or one seed in each compartment of a multi-compartment planting tray. If you have more than one sprout come up (happens often) you can simply "dig" the seedling out carefully using a pencil and holding it by a leaf, not the stem...a mashed leaf can be replace, a mashed stem means death and destruction.
Transplant it while it's small/young.
It's really important to get them in the light, whether natural or artificial, as soon as they sprout. If you use florescent lights keep the light an inch or two above the seedlings. If the light is too far away they will get tall and spindly...you want them short and stocky. Incandescent lights generally are too hot to use. I run my lights 16 hours on and 8 hours off....seems kind of standard for folks. Or, use can use natural light if you can create a safe place for them to grow in...small/mini greenhouse or hot-frame, maybe?
Have fun!
Ed