First of all, if you are new to knitting, make sure you are forming the stitches correctly! If you pick up one of the bars between stitches and accidentally knit it, it will give you a hole, same if you accidentally wrap the working yarn an extra time between stitches.
If you know you are making the stitches correctly and you just find that they are too loose, you can adjust your needle size until things look right, as others have suggested. I got in the habit of giving my working yarn a little tug after each stitch, which helps keep my tension even. I am a tight knitter because of this, which I don't mind so much - if I put down my work and walk away, the needles never fall out!