Cast on the same way you do for straight needles. If you're knitting something flat, then turn and do the first row, just the same. If you're knitting in the round, you need to make sure that you have enough to go all the way around to join them. If you don't have enough sts, then look at the Magic loop video on the Advanced Techniques page to see how to use that. Or you can do a single loop, or knit the first row flat, then join at the end of it.