Knitting on dps in pretty much the same as knitting in rounds on a circular needle, except that the stitches are divided among several needles,forming a broken circle.
Consult any of the good, standard knitting references for details.
In Vogue Knitting, directions and good pictures are on page 78.
I differ with Vogue on one point however (pun intended). It shows the stitches divided onto three needles and knitted off with a fourth. For socks, it's much easier to put the stitches on four needles and knit them with a fifth. (dpns come in sets of either four or five needles; buy the ones with five -- even if you don't use the fifth right away, you're bound to lose or break one.) There's less tension stitches at the ends of the needles and less likelihood of vertical "ladders" in those areas.