In most countries, copyright is automatic. So you do not need to do anything. People are automatically not allowed to use other people's work even if they don't do anything at all to protect it.
However the usual thing to do is include a line like this:
"Copyright � 2012 Joe Bloggs. All rights reserved."
I'm not a lawyer, but I think that's legally better than having nothing in some countries (so nobody could mistake it for creative commons or something).