Sign into your Gmail account and then start here: Filters and Blocked Addressess
Let's start by clicking "Create a new filter"
Depending on what you are attempting to filter, you can specify your settings in the new window
Once you have specified your filter, you then get the option to click "Create filter"
New filter options will appear where you can create new rules for the initially filtered emails
By selecting the appropriate checkboxes, these settings will apply to all future incoming emails that match the criteria you specify.
Once you're set, hit "Create filter" and you're all set.
If you need to ever edit or delete a created filter, you can do so with the "Edit" or "Delete" option.
To explore more complex filters and labels, you can consult the resources here:
Create labels to organize Gmail