The following answer is assuming that you are riding English with English tack:
Put your horse's saddle on and do the girth up on one side. Then, put the buckle of the draw reins (where you would hold them) on the horse's withers so that the loops on the draw reins are on either side. Take each loop and, making sure they're not crossed with each other, put the girth through them and do it up on the other side.
Now put the horse's bridle on and do up the noseband and throatlatch. Undo the buckle of the draw reins that you put on the horse's withers and lay one side on the withers again. The other side would go up from the girth (the loop around it) to your horse's bit. Thread it through the ring on the bit under the regular rein. (Always use a gentle snaffle bit with draw reins). Put it back on the horse's neck and do the same on the other side. Now buckle the two together.
You're now ready to ride! Hop on the horse and pick up your reins. Your ordinary snaffle reins will go in their normal position, in between your pinky and ring finger. The draw reins will go under your pinky and you will hold them in your fist. It will take a while to get the length of the draw reins and regular reins correct and can be quite confusing at first.
To use the draw reins while riding, tilt your hand forward so that you are pulling the draw rein. Use the draw reins for putting your horse in a frame and the snaffle reins for steering.
A word of caution: Don't use the draw reins for too long or your horse (and you) will begin to depend on them. They should be used briefly as a training aid and then discarded as soon as you no longer need them. Phase them out by loosening them gradually until your horse is only listening to your regular rein. (Don't do this all in one day.)
Good luck with your horse and don't be too worried if you don't get it right away! Holding four reins can be quite confusing.