It's the name of the game right, to catch them all? Catching Pokémon is as straight forward as just wandering around, with your phone on and the Pokémon Go app running. Sooner or later Pokémon will start to appear and when they do you simply throw Poké Balls to catch them.
A Pokémon may not be caught on the first attempt and generally the higher the CP value on a Pokémon, the harder it is to catch. Try using Great Balls and Ultra Balls on stronger, harder to catch Pokémon.
You can also use Razz Berries to weaken a Pokémon and make them a little easier to catch.