To roast any pepper, place it over an open flame.  You can do this on a grill or gas stove.

Turn the pepper frequently, until the flame has evenly blistered the skin on all sides.

You don't have to completely blacken the pepper;  don't let your pepper burn.

Remove the pepper from the flame, and place it on a plate.  Cover the plate with plastic wrap and let it sit for 20 to 30 minutes.  Or, refrigerate the covered plate overnight

This steeping process allows the skin to pull away from the pepper's flesh, making the pepper easier to peel.

To peel the pepper, place it under cool, running water and pull the blistered skin away from the pepper's flesh.  The skin should come off in small sheets.

This pepper was roasted, refrigerated overnight, then peeled.