There are several options, either you use pdflatex, with the additional benefit that figure formats other than eps are supported and you get a pdf directly, or you use dvips to convert to ps, and then ps2pdf to convert to pdf.
I use pdflatex for compiling to get pdf output. However, occasionally some things don't compile brilliantly (mostly figures in my experience) when compiling directly to pdf form. In my experience, if that happens, compiling as ps and then converting that to pdf normally works well. You may find TeXMaker really useful as it has a good GUI for compiling (and other things).
I prefer to remain with plain LaTex and get a Post-Script file.
If your PS-Viewer is GhostView, simply hit "Export" and choose PDF as outpout file.
Make sure to set the correct options. In case you try to submit to IEEE or certain conferences, all fonts need to be embedded which is a sinmle chackpoint to click.