From Dan Cross,
Your Guide to Guitar.
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Slide the string through the hole in the tuning peg, up to the point where the string is crimped. The end of the string should point outwards, away from the center of the headstock. You may want to crimp the other side of the string emerging from the tuning peg (see photo), to better hold the string in place. Begin turning the tuner in a counter-clockwise direction to wind the new string, using your string winder (if you have one). As it tightens, look down the length of the guitar, and be sure the string is sitting properly on the bridge of the guitar.

Note: If your guitar headstock is built with three tuners on each side, instead of all six on one side, the direction you turn the tuner changes for your third, second, and first string.