The first step is setting up a bank account. From there your bank can probably get you a credit card with a $500 limit. If you can't get the regular credit card you might be able to get a secured credit card (you put up a $500 deposit and get a card with a $500 credit limit).
You can also probably get a Macys card pretty easily... they give you a 25% discount or something like that with it (and theres usually also a 10 or 20% off coupon in their circulars too). Buy some stuff, pay it off quickly, that will start your credit history.