First and foremost you need player buy in. They must be on board and help you with setting the mood. Otherwise, it is a non-starter. However, realise that being scared is stressful so you will not want or be able to keep it up for hours and hours. Pacing is key. Most of the time, let your players have fun and do not scare them. When the time comes, have a tale that announced "here comes scary bits, please get into characters".
Disclaimer: When I run a horror game, I intend to stress and scare my players. Yes, you read this right players not necessarily characters. This is part of the contract they sign before playing in one of my games. You do not like it, do not play in my horror games. Clearly, there are things I accept as taboo if and only if the player talks to me about it. Running a rape scene with a rape victim crosses the boundary, even with the above note. So, make sure you ask your players if they have something that they want to be off limit.
As to what you can do: attack all the senses of the players and use what you know scares them.
Sight: Darken the lights, add diffuse colour (red is best), and cut out outside sources.
Sound: Modulate the tone and speed of your voice. Invest in some good soundtracks such as Silent Hill, Biohazard, The Things, et al and play them on repeat. Have a secondary player to play sound effects. This is a nice thing to play.
Feeling: Make sure the room gets colder. Play with that air con, if you have one. This is the hardest to do since unless you want to drop fake spiders down somebody's neck, you do not really have access to the players' skin.
Smell and taste, and touch really: Unless you have access to foetid chemicals and what to stink your house out, you have to reply on describing what the characters smell, taste, and to a greater extend feel. Remember that smell is the surest way to awaken memories. Use this to bring the character's background to the foreground and then mess with it. Associate old pleasant smells with horrible things.
This is where RPG excel at! the GM is the sole sources of what the characters's interactions with the world. Mess with that. Describes things differently to different players. Those strange little rock Bob is handling sure look like little baby fingers to Alice...
Finally, you should learn about fear. Find out what makes people afraid and use it on your players.