It's a GREAT question!
You're going to join the sts you've cast on so that they form a complete circle-- you're going to be knitting a tube shape. But you need to know where your circle starts and stops, so you need to put a marker there. You do this by slipping on either a pre-made/designed for the job little circle, (this is what they look like: http://www.joann.com/joann/catalog.j...RODID=prd32214
), or you can knot a piece of contrasting yarn knotted to form a small loop, or if your needles are small enough, some people snip off a very thin piece from a plastic drinking straw. When you come to it as you knit along, just slip it from one needle to the other, so that it always stays between the same 2 sts.
Now, here's another piece of advice about knitting in the round: When you first join the sts, you have to make sure that they aren't twisted AT ALL around, and that you're joining them so that the cast on edge is always at the bottom. That can be difficult, so a trick is to knit "flat", that is, back and forth rows, for a few rows, and THEN join. You'll end up with a little gap from the flat-knit rows, but just take the tail left over from your cast on and sew it up.
It any of this isn't clear, just give a shout!