There are several ways in which you can do this. You can nest the text you want to have bold, italic, and underlined in the various HTML tags that do this.
Ex:
TEXT
OR:
TEXT
Also, you could place the text in a span, div, or p tag and use a style attribute. This is applying an in line style using CSS, which is closer to web standard. Here is an example using a p (paragraph) tag.
TEXT
If you wanted to use a span or div tag instead you would simply replace the p with the desired tag. The biggest difference is that a DIV tag is a DIVision of your site, it will span the entire width of the parent element unless you specify a width. The above example would take everything inside the p tag and apply the bold, italic and underline to it. Say you have some text in a p tag but only want a few words to be bold, italic and underlined. You would span the desired words and use the same style attribute like this
These words are normal while these words have bold, italic, and underlined
CSS is the current web standard and is very powerful, but can be a bit of a pain to start off in. If you've already got a good working knowledge of (X)HTML here is a good place to start looking into the world of CSS: http://www.w3schools.com/css/default.asp
If your just starting out with (X)HTML in general I'd suggest you get a good understanding of that before you begin learning CSS if that's what you wanted to do. Here is a good spot to start out on HTML: http://w3schools.com/html/default.asp