It depends what you already know. If you have some idea of the unit cell/symmetry then it is easy. I like to use chekcell (http://www.ccp14.ac.uk/tutorial/lmgp/achekcelld.htm) to look at reflection lists. Alternatively, you can use a program like Diamond to generate a powder pattern from a .cif file if you have one. It will give you a list of reflections. Both will give you the indices and the 2 theta position for given radiation wavelength.
However, it is likely that you are asking this question because you don't know what your sample is. This problem can range from very simple to very difficult depending on what your sample and data are like. If possible, start with using a program which can search a database to match your pattern to known patterns/phases. I use Jade's search/match function for this. If you suspect that you have a new or poorly known material, then you need to look into auto-indexing protocols. There are programs which will do this (GSAS-II or CRYSFIRE) but there can be many pitfalls, particularly if your material is not pure (or you do not know).
Alternatively to Diamond you may want to try PowderCell ( Diamond is really great program but for the full functionality you have to buy the licence) . The same restrictions as for Diamond, though. You must have a cif file. The rest as Ryan said.
If you have 2 theta of your diffraction peaks, you may use DICVOLV program: www.ccp14.ac.uk/tutorial/fullprof/demo.htm . So you get symmetry and cell parameters of your materials. Using intensities of your diffraction peaks you may solve atomic positions (by Diamond) , but it is not so simple as a determing of hkl from 2 theta.
When you obtain a diffraction pattern the first step is not a program but physics and common sense. What do you expect? How much peaks do you observe? Many? Then it is not a low simmetry or there is more than one phase. Not many? It is more easy. Then you can use DICVOL or Power Cell as Nadezhda and Andrezej suggest, the first one for indexing and the second one for simulation. But remember, programs do not make physics and they can give you solutions which are not real.
winxpow or the WinCSD package have a graphical interface, which allows you to find peaks, and index them using TREOR or other algorithms.
winxpow is proprietary and easy to use.
WinCSD is free, but takes some time to get used to
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