It’s not very clear
Anakin’s conception (assuming that he was conceived by the midi-chlorians) is not given in much detail. Even Shmi isn’t much help:
“There is no father,” she said finally. She shook her head slowly. “I
carried him, I gave birth to him. I raised him. I can’t tell you any
more than that.”
The Phantom Menace
We do have a bit of a clue (albeit a vague one):
Qui-Gon nodded. “A boy. His cells have the highest concentration of
midi-chlorians I have ever seen in a lifeform.” He paused. “It is
possible he was conceived by midi-chlorians.”
There was a shocked silence this time. Qui-Gon Jinn was suggesting the
impossible, that the boy was conceived not by human contact, but by
the essence of all life, by the connectors to the Force itself, the
midi-chlorians. Comprising collective consciousness and intelligence,
the midi-chlorians formed the link between everything living and the
Force.
The Phantom Menace
There seems to be the implication that since the midi-chlorians are “the essence of all life,” they’re quite capable of creating it if they so choose.
Some other questions have touched on seeming biological difficulties created by Anakin’s virgin birth. However, what it basically comes down to, in the end, is that the Force is supernatural, and midi-chlorians are fundamentally tied to the Force. The Force can create energy from nothing, connect minds at speeds faster than light, and move objects without any reaction force. Why not create a few cells?