When you get to the end of your first row all your stitches should be on the right hand needle with the yarn hanging from the leftmost stitch - the last one you worked.
Turn your knitting around so the point of the needle is pointing right and put the needle with the stitches into your left hand. The yarn will now be hanging from the rightmost stitch of the needle in your left hand. Pick up the working yarn in your right hand (if you're knitting English style), along with the empty needle. Insert the empty needle into the first stitch on the left needle and knit as you normally would. When this first stitch is finished your working yarn will now be coming from the stitch on the right needle. Then just keep going until you get to the end of the row. Turn work and repeat!
Hope this helps, and Happy Knitting xxx