This tutorial will walk through installation of OS for the the Raspberry Pi.
The Raspberry Pi will not start without a properly formatted SD Card, containing the bootloader and a suitable operating system. Most of the problems with booting the Raspberry Pi are a result of an improperly formatted or corrupted card. Make sure that you insert the card before powering on the Raspberry Pi, and that you shutdown the Raspberry Pi before unplugging the card.
First, you will also need to choose a distribution – the OS you want to for the Raspberry Pi. Note that you can have several SD Cards with a separate distribution on each, then power off, swap cards and restart the Raspberry Pi to use that card.