First, you're going to need a pair of knitting needles and a skein or two of yarn. I know you're probably thinking, "Duh!", but I decided to mention this anyway.
Then, you'll need to tie a knot onto one of your needles. Don't tie it too tight because this will be one of your stitches later.
How to Knit
Place the needle with your stitches in your left hand. Then, insert the right-hand needle into the front of the first stitch on the left-hand needle.
Wrap the yarn from the back to the front of the right needle and pull it through the stitch.
When you've finished the row and all of your stitches are on the right-hand needle, simply move the right-hand needle to your left hand, and begin again.
After you've completed a few rows, you will have a pattern like this.
This pattern is called the garter stitch.