To froth milk, see
How to Steam Milk first, only we're gonna change one thing. When you start steaming,
submerge the tip of the steam wand like you did to steam milk, but once the steam is going, slowly lower the milk until the tip is about a quarter to a half inch submerged, and the steam is gonna make a kind of a rumbling noise.
If you lower it a bit more, it starts to whistle and the slits on the steam wand will be just below the surface, which can cause the steam to be spewed out at you, but this only happens when the milk is as hot as possible, and you aren't paying attention, thereby receiving the worst possible burns. Once the steam cup is hot enough to where you can only hold your hand on it for a second at a time, it's done (or 160 degrees F if you have a thermometer). Now you can make your cappucino.
As a check, good foam is thick enough to where you can take a spoonful and turn the spoon upside down without losing the foam very quickly.