Katakana is the Japanese alphabet that all foreign words, such as names, are written in. It might seem daunting at first, but with some concentrated study and memorization, plus lots of repetitive writing practice, you can master them in a few weeks. The basics are easy, but yes, there are exceptions and funny rules, but don't worry about those for now. There are 46 basic characters:
Write your name in Roman letters and break it down into syllables, with each one typically ending with a vowel.
For example, "Megan" maybe breaks down into "me-gan", "Heather" becomes "hea-ther" and "Matthew" roughly becomes "ma-thew"
Match each syllable with its Katakana equivalent.
For example, "me-gan" would be 3 character "me-ga-n", "hea-ther" is something like "he-za-" with an extra sound extension on the end, and "ma-thew" would look like "ma-shyu-", which is a little trickier.
Here are some common syllable conversions:
Using the above conversions, and maybe a bit more research on your own, write your name in Katakana.
For example:
Practice by writing your name out a few dozen times, and then try those of your friends or family to become more familiar with Katakana characters.