There's a good tutorial here:
http://www.chicknits.com/block.shtml
There are lots of ways to block a piece and some depend on the type of yarn you are using. Generally, I'm I have good luck with simply pinning and steaming (with the steam setting on my iron) the piece, then letting it sit until it is totally dry. With wool and wool blends I actually apply direct heat. Novely yarns I cover with a press cloth to protect them.