Plan your style. Having in mind what your end goal looks like will help you to form a path for getting there. You can do this in your head, draw a picture or make some marks on a styrofoam wig holder. The easiest amount to begin with will probably be four to six sections from the front to the back of the head.
Spritz some water or water mixed with detangler on the hair. Comb or brush it through to remove all major tangles. The hair should be mildly damp, but not too wet. The reason for this is that you don't want to have to pull the hair a lot to create the tension needed to hold the style together. Hair expands when it's wet and contracts as it dries. Despite what some people say about a tight braid, this is the best way to achieve it--not by pulling the hair hard away from the scalp. Also, people with straighter or slicker hair should use hair wax or a protein hair gel to help the style last.
Part a section of hair that you would like the cornrow to follow along. Put the sides of the hair that you aren't braiding in two pigtails so they don't get in your way. Move other hair out of the way so that you have a clear path to follow. Then take a small section of hair where you want the cornrow to begin. Don't take too much, especially near the hairline, or you will have to pull too hard to continue.
Separate that small section into three strands and make a normal braid of about two "stitches" to get it started.
Holding the two outer strands aside, and reach down under this initial braid to add a little hair to the middle strand. Fully merge this new hair to the middle strand so that it becomes a part of it, and you again have three strands. Make a braid stitch out of these strands.
Continue braiding, each time adding a little more hair to the middle strand. Repeat this until you've run out of hair to add. If you've reach the end and there is still hair left over, then continue with a regular three-strand braid.
Secure the cornrow with a hair clip, barette or whatever you like, just so long as you will be able to easily remove it later. Uncovered rubber bands (elastics) are not recommended unless they are the kind made specifically for hair.