If you just want the finished product and don't care about the method, your best bet will be to buy a roller. These are relatively cheap (~$5) and are most likely available from your local cigarette store or head shop. These will roll a perfect cigarette every time, far better than you could hope to accomplish by hand, at least when you're first starting out.

For those interested in learning the technique, however, read on!

Orienting the Paper
After removing a paper, hold it so that the inside of the crease is facing towards you and the gummed edge (which will be shinier than the rest of the paper) is on the far side from you. You will want to make sure your fingers are relatively dry, especially when touching the gummed edge, because if the gum is moistened and dries before adhering to the rest of the paper, it loses its ability to stick.

You should grasp the paper on either side between your thumbs and index finger as shown. This will allow you to use the thumbs to work the paper while applying constant pressure against your index and middle fingers.

Begin filling the paper with the material you want to roll. Make sure it's well broken-up into a coarse powder with no particularly large chunks.

Rolling the Joint
With the material loaded into the paper and holding it between your thumb and index/middle fingers, push down with your thumbs while pushing up with your index and middle fingers until all the material is being held in the lower half of the paper. Now, move your thumbs up and down while applying pressure, packing and rolling the material into a cylindrical shape.

Once the material has been firmly packed by the rolling process, roll the paper down with your thumbs until all the material is once again being held by the lower half of the paper below the crease. Now, pull your thumbs all the way up to the lower edge of the paper, inserting it into the crease. On the far side of the paper, move your index and middle fingers towards each other until they are touching near roughly the center of the paper. At the same time, move your thumbs together, holding the edge of the paper with the entire length of your thumbs. Bend the joint slightly towards yourself, pushing up with the tips of your fingers, and at the same time pull your thumbs back, tightening the rolled edge of paper as you push it into the crease. This should ensure that all material in the lower half of the paper is held tightly before you roll up the joint.

Finishing Up
Keeping pressure on the center with your index/middle fingers and bowing the entire joint slightly, push upward with your thumbs, rolling the remaining top half of the paper into the joint. Once you near the gummed edge, moisten it with your tongue. Be careful not to lick any of the other paper besides the gummed part, as this will prevent the gum from sticking.

Seal the gummed edge to the other side of the paper and run your fingers along the edge a few times to ensure that all of the gum is holding firmly to the paper.

Next, pick the side you wish to smoke out of and remove a small plug of material. You may wish to twist this into a mouthpiece. If you are planning on taking the joint with you, remove a plug from both ends and roll them shut to ensure no material from inside leaks out into your pocket. If you don't plan on taking the joint anywhere, it's better to leave the end you intend to light unrolled as it will be easier to light initally.

Enjoy!
Congratulations! I hope you have enjoyed reading this guide and rolling your first joint, and hopefully this will be the first of many, many joints to come. Now go and enjoy the fruits of your labor.