The short answer is, I put a "book" of spec ads and storyboards together, and pounded the pavement until someone offered me a job. Getting into advertising isn't easy (whether on the creative side or otherwise), and it's certainly not for everyone. If you're interested, my advice would be to learn as much about the advertising business as you can. There are some really good books out there... some of them classics, like "Ogilvy on Advertising" and "When Advertising Tried Harder" (about Bill Bernbach). Some current books I'd recommend are Pat Fallon's "Peeling the Orange," and Ernie Shenk's "The Houdini Solution." It's also worth visiting the sites of some great agencies ... Crispin Porter Bogusky, Fallon, Strawberry Frog, Carmichael Lynch (many others)... look at publications like Communication Arts and Print, as well as Ad Age and Adweek. Ultimately, if you're still interested, you'll need to decide what aspect of the business you want to pursue... creative, account service, account planning, media, etc. If you're a student, I'd also suggest you try to get an internship at the best agency you can find... you won't make any money, but you'll learn a lot about how agencies work.
Hope this helps!