First, you must be using a ship with the Colony Module - the core Colony Ship or one you have designed which includes a Colony Module.
Bring the ship out of orbit and select it with a left-click, then right-click on the planet you wish to colonize.
The planet must not already be owned by another civ, of course, and it must be a habitible planet. If you are using DA, you must also have the techs to colonize that type of planet.
When the ship reaches the planet it will automatically colonize it, and you will receive a message and be put into the planet screen to start building.