Ranger Dave: Sighting in a scope is easy.
1. Set up a paper target and shoot a group at a it.
2. If you're not hitting the paper move the target closer and repeat step 1.
3. If you're on target, adjust the windage and elevation knobs and shoot another group.
4. Repeat step 3 until you're happy with how the scope is sighted.
Most scopes I've owned have had helpful little hints on them so you know which way to turn the knobs. Once your roughly sighted in, making small adjustments for range or different brands of ammo is pretty easy.
Trying to sight in a rifle without a paper target is a waste of time (unless you're having fun.)