Pretty large question you're asking there. Tax returns are generally filed annually. Your tax year as an individual is January 1 to December 31, and you pay your taxes at the end of the following April. So you will pay your 2012 taxes by April 30, 2013. You file a return to the CRA (Canada Revenue Agency) which is a federal agency that collects both federal and provincial taxes. There are complex rules with taxes - most people use either tax software or pay to have someone prepare their returns.
Start with the http://www.cra-arc.gc.ca and learn from there. If you're completely green, it may be worth getting some assistance with your first tax return. You can also look into any immigrant / settlement support offices in your area, as many provinces and NGOs provide tax filing assistance to recent immigrants.