You can register your copyright by filing a simple form and depositing one or two samples of the work (depending on what it is) with the U.S. Copyright Office. There are different forms for different types of works -- for example, form TX is for literary works while form VA is for a visual art work. Forms and instructions may be obtained from the U.S. Copyright Office by telephone, 202-707-9100, or online at www.copyright.gov.
Registration currently costs $45 per work. If you're registering several works that are part of one series, you may be able to save money by registering the works together (called "group registration").
For detailed information on the registration process, see The Copyright Handbook, by Stephen Fishman (Nolo).