there are a few ways. first, check your camera. if it's newer, it may mark the photo for you. it may do this in two ways: a) the obvious stamp on the photo, or b) it will assign your info in the exif data of the photo (recommended).
if your camera doesn't do this, or you do not know how to do this, you can add your stamp on the photo easily. if you're using a mac, this can be done with iphoto or aperture. if you're using a windows machine, it can be done using almost any photo editor.
finally, if you upload your photos to flickr, they have an editor that will allow you add the stamp.
all of that rambling out of the way, what camera are you using? then, what computer are you using? and, what software are you using on that computer?