In order to begin tuning the guitar, you'll need a "reference pitch" from another source. Once you've found a source for this initial pitch (it could be a piano, a tuning fork, another guitar, or any number of other options), you'll be able to tune the rest of your instrument by using that one note.
NOTE: Without a reference pitch, you can tune your guitar, and it will sound fine on it's own. When you try and play with another instrument, however, you will probably sound out-of-tune. In order to interact with other instruments, being in tune with yourself isn't enough. You'll need to make sure that your E note sounds the same as theirs. Thus the need for a standard reference pitch.
STEP 1: Listen to this MP3 of a low E string in tune.
Tune your low E string to this note. Repeat the audio track as many times as you need to, in order to try and match the note perfectly.
Tuning to a Piano
If you have access to a piano, you can alternately tune your low E to the same note on the piano.
Look at the black keys on the keyboard of the image above, and notice that there is a set of two black keys, then an extra white key, then a set of three black keys, then a white key. This pattern is repeated for the length of the keyboard. The white note directly to the right of the set of two black keys is the note E. Play that note, and tune your low E string to it. Note that the E you play on the piano may not be in the same octave as the low E string on your guitar. If the E you play on the piano sounds much higher, or lower than your low E string, try playing a different E on the piano, until you find the one closer to your open sixth string.
Now that we've got our sixth string in tune, let's move on to learning how to tune the rest of the strings.