First use graphicx package:
\usepackage{graphicx}
Now, decide on whether you're building a PDF file or a DVI file. I use eps graphics for PDF and JPEG graphics for DVI files. If you're using TeXnicCenter, there should be a menu item in the menu bar for choosing the output. I create DVI output for draft files because the YAP viewer allows you to click on the output and sends you to the code that produced that line. So I create a JPEG file. Then it's simple: Choose Insert/Picture, then fill in the blanks: find the file, add a caption, add a label. Bam. Done deal. Can also read up on the graphicx package (Do Google for graphicx package in latex) for other options such as scaling the size of the picture, and tons more. Here's some typical code that's created when you do the Insert/Image operation:
Code:
\begin{figure}
\centering
\includegraphics[scale=1]{Hankel2.eps}
\caption{Hankel Contour}
\label{fig:Hankel}
\end{figure}