1. Turn the ignition switch to the "ON" position. This doesn't need to be all the way to the "Start" position, just enough to power the car's electronics.
2. Turn the headlight switch. This is usually a rotary knob or a lever located on the steering column or dashboard. Rotate it to the headlight position. There will likely be positions for parking lights (usually just the tail lights and front parking lights), headlights (both headlights and tail lights), and possibly fog lights.
If your headlights aren't working after following these steps, there may be a problem with your car's electrical system, bulbs, or switch. Check your fuses first. Your owner's manual will tell you where the fuse box is and which fuses control the headlights.