You might want to start here:
and then take a look at the tutorial:
I'm not sure what version you have of ArcMap, but here's the ArcGIS 10.1 instructions. If it is not 10.1, check the Help for similar topics as there may be changes between 10.1 and other versions.
ArcGIS Help 10.1 Designing a Network Dataset
ArcGIS Help 10.1 Creating the Network Dataset
Chris Donohue, GISP