You send it to CPC-M first the provincial stuff is separate. After the sponsor is approved, on the bottom of the approval letter, you will receive instructions to apply for your CSQ ( Certificat de Selection du Quebec) DO NOT apply for one before you get that letter as you need a copy of the letter in your CSQ application so everything will be returned. It took us 16 days to receive our approval from Montreal regarding our CSQ . Then once you receive your CSQ you mail it to whichever visa office is processing your file. Which is explained in your approval letter.
Check these links
http://www.immigration-quebec.gouv.qc.ca/en/index.html
http://www.immigration-quebec.gouv.qc.ca/en/forms/search-title/undertaking-application/kit-a.html
This should help you get started. Read both the Sponsor and Sponsored person's guides thoroughly and you'll off to a good start.