If you have a desktop GIS program there are almost always methods to use within those programs to help you geocode your data. However the fastest way to get started, and I believe the easiest and most approachable way is to use the excellent Excel Geocoder tool provided freely by Juice Analytics. This tutorial assumes you have a recent version of ArcGIS for the second half. The basic geocoding process is valid for any software program or version.

1. Download this Excel spreadsheet and the first tab/worksheet gives you a set of instructions- firstly you must apply for a Yahoo API key- this is a key normally for developers to write new programs, for you it gets you  access to Yahoo's geocoding service for free, sweet. Yahoo API requires a Yahoo account, slight hassle but it never hurts to have one. Get your key and copy/paste it into the first tab.
2. Lets consider a sample excel file with data like below
   
   
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4. The file will automatically update with your coordinates on the left. If the address is poor or missing one element, it may not find a good match and it will give you feedback in the Precision column: Address     implies a perfect match, Zip means it can locate the point to within a zipcode only (semi-reliable for some tasks) and City means it can only resolve your address deails to the centre of a city which is hardly  useful for much at all.
   
   
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6. Now copy your coordinates back into your original excel file (if you need very reliable data you must attempt to fix any bad or missing addresses here, then rerun the geocoding). Save the file as an excel 2003 format (Note: for ArcGIS 9.3 you can use Excel format 2007, however if this is the only file in your folder ArcGIS will not see it for some random reason).
   
7. Open your ArcGIS window and click the yellow Add Data button and navigate to your saved excel file, double click on it and then select the appropriate tab within the excel file (it's a good habit to start naming your excel files clearly and also the tabs/worksheets inside them- managing spatial data files gets real messy fast- good organization can really save you time and hassle!)
   
8. A good backdrop to have open when you are geocoding or creating data is the World Streetmap layer that comes on the ArcGIS DVD set or online here. This can help when you check your final data to make sure it realy is at the right location- sometimes geocoders get it really wrong!
   
9. If you right click on the table you imported and select Open you will see yout table like below- all your original data plus your new coordinates.
   
   
   
   
10. Right click on the Sheet1$ on your layer list on the left (this is the name of the Excel Worksheet), select Display XY Data from the drop down menu.
    
    
    
11. If you are lucky and have named your coordinate fields correctly ArcGIS will match the correct column names with the correct X/Y fields- Latitude refers to the vertical position on the globe, hence it fits in the Y field. If you have read the Map Projections section you will know that your data needs some way to tell the program how it fits on the globe, to do this we click on the Edit button.
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
12. Select Geographic Coordinate Systems if you have data with Latitude/Longitudes or Projected if you have cartesian X/Y coordinates.
    
    
    
    Then select the WORLD folder and finally select the last entry called WGS1984.prj
13. Now you will see a screen like in point 11 but with a whole lot more detail- feel free to ignore it unless you have nothing better to do than learn the metrics of map projections, I wouldn't advise it. Click the OK button and walah! You should now see a smattering of points on your map- if you are zoomed into the right area of course.
    
14. If you see no new points on your map, right click on the new layer on the top left (probably called Sheet1$ Events) and select the Zoom to Layer option. You will now see the extent of your new spatial data!
    
15. The default symbols are likely hard to see if you haven't changed your settings, to make them more visible left click directly onto the symbol on your layer listings as such:
    
    
    
    
16. Pick a new symbol that stands out and hit the OK button. You should now see your points clearly!
    
17. Make sure you save this new creation- right click on the layer name and open out the Data menu, then select Export Data.
    
    
    
18. You can keep al lthe default settings in general until you learn what they mean and how they can be used. Type in your new filename or browse to where you want it stored. The file will want to be named ****.SHP - this is the default file extension for the main file used to store spatial data- called a SHAPEFILE. Lastly click OK and it wil be saved. Youwill be asked if you want to add this new file to your map, best practice is to say Yes and then remove your temporary import layers so you don't get confused and use a temp file instead of your saved version!
    
19. Remember to save your workspace- called a Map Document in ArcGIS (this file has an extension of .MXD)
20. You're done! Congratulations on creating your first shapefile!