Does a process exist for executing a market research?

Is there a good resource (book, blog, etc.) that would explain me step by step how to execute a rigorous market research? Where can I find market data such as market size, market share, etc.?

Any advice on the market research process is welcome!

Market research for anything but the biggest and best-covered markets (e.g., computer sales) is typically a painful process. In my opinion, there are a couple of different flavors to think about.

The first but probably less important aspect is the numbers you might want to put in your pitch deck or business plan - market size, share, etc. I'm not aware of any good reference on this entire process, but you should check out Aaron Patzer's presentation on some of the numbers he ran for Mint. Forrester, Gartner, and other similar firms are staples for tech market research. Also check out MarketResearch.com for non-tech markets. All the packaged research companies tend to have somewhat questionable numbers, but at least they're a starting point. Also note that they're very expensive for what you get.

Another good approach is to look at the annual reports and investor presentations of the big public companies in your industry. You can sanity check any market research numbers by doing a bottom-up analysis adding up public companies with a fudge factor for smaller players. My impression is that people tend to discount top-down market numbers (the classic "if we only get 1% of this market..."), so make sure to focus on the bottom-up numbers (what people call SAM, or Served Available Market, as opposed to TAM, or Total Addressable Market).

Finally, see if you can get access to investment banking analyst reports. Thomson Research/Investext has a great selection of these, and many business school libraries have relatively open policies on letting non-students use the library. Business schools also tend to have subscriptions to the academic version of MarketResearch.com.

The second aspect of market research is understanding customer needs and behaviors, and I think at the seed stage this is much more important. All the usual customer development resources, like Steve Blank's Four Steps to the Epiphany, apply here. I won't bother rehashing all that stuff.