I would tell you how but it's a little confusing and since you can find it in the learning center in fsx I see no reason to write a novel on this subject, so just go look for it in the learning center.
It also depends on the plane, jollycheese. While the principle is mostly the same, they require different 'things to do' to set the autopilot. As stated, check the learning center, and see how you do there.