The first step in finding a geocache is to become familiar with your Global Positioning Satellite Receiver (a.k.a. GPSr.) A good starting place is to study the user manual that came with your unit. Have your GPSr turned on and perform the steps and operations that the manual is describing so that you get hands on experience. If you don't have a manual for your unit it can probably be download from the manufacturer's web site.
Learning how GPS works can save you some headaches, or at least you might understand why you have a headache :) Garmin has some good information on their web site about GPS and the associated technology. A couple links that you might like to read over are:
As you start using your GPSr and looking for caches, keep in mind that the best accuracy that you can expect is about 9 feet. That gives you a 254 square foot area to search provided the person who placed the cache was extremely careful in taking a reading and you are just as careful taking your readings. There can be many hiding places in that size of an area! Surrounding conditions such as buildings, trees, rocks, cloud cover, etc. can affect the readings and make your search more difficult, of course that is what makes it interesting :) Due to these factors you may find the cache 10-30 feet from where your GPS says that it is located; that is over 2800 square feet in which to look! If you find a cache and your GPSr says that it should have been 25 feet to the south don't flame the person who placed the cache; just understand that these conditions as well as differences in GPSr brand and model all combine to keep you on your toes and nose when looking for a cache :)
Of course it goes without saying that you should register on the official Geocaching web page since that is where all the listings are and where you will want to log your finds. Pick a cache near your home, read the details, program the coordinates (a.k.a. coords) into your GPSr, and maybe even print out the listing to take with you.
The hunt begins by finding the right place to park. A little planning ahead of time by looking at the maps that are provided in the listing will help you to understand the terrain that you can expect. Some cache listings provide parking coords if there is a trail head that you will need to start at. Always be mindful of private property and dangerous approaches. The shortest way to the cache from your car may not be the easiest, safest, or legal.
When you get to the general cache area you might want to begin by approaching the area that your GPSr is pointing to from several different angles. Choose the area where these different approaches converge to start your hunt. The best rule is to think to yourself, "where would I hide it." Of course some of us like to trick people and look for places to hide a cache where people wouldn't normally look :)
GEOSET is not about making rules. But there are some basic principles that are important for everyone to follow so that the game is fun for all, and to minimize caches being found and taken by non-players (a.k.a. geomuggles). When you find a cache sign the logbook to document your find. Always hide the cache as well or better than you found it, and never move a cache from where you find it.
Sometimes people have left a cache exposed more than the owner intended thinking to "help the next guy." However the cache may not be there for them to find if a geomuggle steals it! Make sure to log your visit on the listing web page too; cache owners and other cachers like to read the logs. Your log can include information about your hunt, just don't give away specific details or hints that might cheapen the hunt for the next person. Logs might also include information on the cache condition. People always like to read a creative log entry.
Finding cache "treasure" is where many people have their fun in the game. The only rule is that if you take something leave something in exchange. Some cache owners make specific requests in their listings about trading and these should be followed as a courtesy. Another principle that some geocachers talk about is to trade even or trade up. It should be remembered that this is not a rule unless the cache owner specifically states so. However it is not exactly fair to take a nice unique item and leave a chewed on pencil or such in exchange. Placing a cache is an expense for the owner, and they should not have to constantly be restocking their caches if they are being plundered. The owners are likely to remove their caches and leave the game.
Unfortunately cache hunts sometimes end in disappointment. Even the most experienced cachers have "no finds" from time to time. Sometimes the cache is hidden so well or out of the ordinary that it is hard to find, other times it may have been moved from where the owner first placed it, and worst of all geomuggles sometimes find and steal a cache.
Cachers that hunt without finding a cache should log their attempt as a DNF (did not find), this is good caching etiquette. Sometimes cachers don't like to see the frown face and don't make these logs, but failing to log a DNF causes problems. First the cache may have been stolen and the owner not know yet. In that case several more people will waste their time and gas looking for a cache that isn't available. Owners or other cache caretakers should always check on caches if the logs indicate that the cache may have gone missing.
Another reason to log DNFs is that it keeps an accurate history of cache activity. A cache that is still in place but has frequent no finds might help an owner evaluate difficulty ratings. The listed coords might also need tweaking a little to get people a little closer to the cache.
A humorous story written by cacher Criminal on this subject can be read in the Groundspeak forums. The whole thread is interesting, for context you should probably read the first message at the top of the page to which Criminal was responding. His story is the fifteenth in the list, and most lengthy.
Good luck hunting caches, and most important - have fun!