There are only two ways to go: manual focus and autofocus (often abbreviated "AF"). Let's cover manual focus first because it's simpler to describe, if more challenging to master.
Manual focusing is possible on every interchangeable lens I have ever seen (i.e. for SLR cameras), although most integrated lenses don't do this (i.e. those on point-and-shoot cameras). On most interchangeable lenses, there is a focusing ring on the lens barrel, which you turn to manually focus the image.
On fixed focal length lenses (primes), the focusing ring is the only one on there.
On zoom lenses, the focusing ring is generally smaller than the zoom ring. There it is, towards the bottom...
If it looks like there is only one ring on your zoom lens, look for a very small focusing ring at the very front of the lens. See it?
Hold on, wait a minute before you start jerking the focusing ring around, I don't want to break your camera. Many lenses don't allow you to manually override the autofocus without disengaging it first. To do that, you'll need to flip the focusing mode lever to "M". It's a little lever beside the lens mount, and generally the options are "M, S, C" (or just "M, AF"). If it's not on your camera body, it will be on the lens itself. When you move it to "M", autofocus will be disabled, but you will be able to manually focus now (just don't forget to move it back when you're done).
On some newer lenses, they allow you to manually override the autofocus and turn the focusing ring whenever you want to. Be sure to check your lens and camera manual to see if this is an option before you try it (for all the reasons I mentioned above!). I can't speak for all brands, but the Nikon lenses that allow manual override have a "M - M/A" switch on the lens barrel. M is manual only, M/A is autofocus with manual override.
So why focus manually?
Well, sometimes autofocus screws up. Modern auto-focus is very, very clever, but just like automated exposure modes, it can't read your mind. Also, manual focus can be very helpful if you are using an extremely shallow depth of field where only a tiny slice of the image is in focus. For that reason it is preferred for close-up work where the DOF can get razor thin.
To me, manual focus is just a fall back when autofocus doesn't do the job. Some people use manual focus exclusively, but my eyesight is too bad for all that. If I had a larger viewfinder on my camera, and some laser eye surgery, I might change my mind though. :)
Up next, autofocus mania!
