1. Pay yourself First. Set up automatic transfers from your paycheck into your savings accounts. It is very hard to frivolously spend the money you don't have. Set up auto payment for everything else you can too.
2. Buy Quicken or MS Money (having used them both I preffer Quicken).
3. Don't use cash. Use your debit or credit card and then automatically transfer your transactions into quicken to have an instant recall of what you spent your money on.
4. Read these two articles on MSN Money: The 60% Solution, Your First Budget.
I'll go into depth on these later. But for now: 4 steps to get your money under controll. Auto Transfers + Quicken + Transaction Download = financial planning in 30 minutes a month.
Budgeting Made Easy Series:
Budgeting Made Easy Overview
Budgeting Made Easy 1 - Electronically Pay Yourself First
Budgeting made Easy 2 - Buy Quicken