Seasoning your cast iron Dutch oven is required before its first use, so make sure that you have accounted for this after buying your Dutch oven. The steps are pretty simple, but take some time. You won't even have it completely seasoned after the first time, but will occur as you use your Dutch oven.

• Cast iron Dutch ovens are shipped with a coating that keeps them from rusting during shipping. This must be removed before you start the seasoning process. Use soap, hot water, and a steel wool or other type of scrub pad to remove as much of the coating as possible. After this, never use soap to clean your Dutch oven again.
• Warm the Dutch oven and lid on the stove (or in your oven) to completely get rid of any moisture that might be left.
• Apply a coating of melted shortening to all surfaces of your Dutch oven, inside and out. Make sure to do the lid as well.
• Preheat your oven to 350 degrees. Place your Dutch oven on a cookie sheet covered with foil on the top shelf, upside down. Bake for one hour. Turn the oven off and let the Dutch oven cool. Note that this will probably cause some smoke and certainly a smell in your house. If you have a propane grill that is large enough to hold the Dutch oven, then you may prefer to do it outdoors instead.
• When done, remove the Dutch oven (it will be hot, so make sure to use an oven mitt, or hot pad (and make sure it is an old one, since Dutch ovens hold heat very well and may ruin a nice oven mitt).
• Use a paper towel to wipe off any excess oil. Then recoat with shortening and cook it again for 1 hour. Turn the oven off and let it cool. You can repeat this step again, if you like, but twice should be enough.
• Once done with this initial seasoning, wipe out all excess oil and then apply a light coat of vegetable oil (like canola oil). This will help keep it protected and ready for your first use.
• The more you use your Dutch oven, the better seasoned it will get. It can help to cook foods, with high fat contents, such as bacon, sausage, or hamburger, the first few times to help speed up the seasoning processor. Deep-frying is another way you can help speed things up.
• After each use, make sure to completely dry the Dutch oven, and then oil lightly before storing for your next use. Over time, it will darken and improve. When well-cared for, cast iron Dutch ovens can last for many, many years.

P.S., For more Dutch Oven Recipes, I recommend Best of the Black Pot. It has some delicious recipes and is great whether you are an beginner or an expert in Dutch oven cooking