Load up your foursquare app on your device (you can download it here), click "Check in" and then select the venue where you currently are. If you don't see the venue listed, you can search for the venue by partial name (to guarantee best search results).

Once you find the right venue, click the big green button to check in. You can then decide whether you want to tell your friends where you are or keep your check in private (i.e. "off the grid") You also have the option to add a "shout," (think: adding context to your check-in and letting your friends know what you're doing) as well as to publish to Twitter and/or Facebook if you've linked those accounts in your settings.