Once you write something, it's copyrighted. But, to have more protection, you need to file it with the government.
Here is a link Kenn had posted above http://www.copyright.gov/circs/circ1.html
Also, I've been told that another way to protect your work is to send it to yourself registered mail, that way it has an official date. Do not open the envelope unless there is a problem, and then only in front of a witness, such as a judge or lawyer. It's been called the "Poor Man's Copyright".