Put
\usepackage{graphicx}
in the preamble and then
\begin{figure}[htbp]
\centering
\includegraphics{filename.eps}
\caption{...}
\label{...}
\end{figure
You can use the optional argument to specify width (and other things)
\includegraphics[width=10cm]{filename.eps}
Get the file epslatex from CTAN. This is a very good documentation:
CTAN/info/epslatex.{ps,pdf}