How to change depth of field
There are three primary ways of effecting depth of field: aperture, local length, and focal distance. By combining these three factors in the appropriate ways you can either achieve a small or a large depth of field.
To achieve a small depth of field you wish to have a large aperture, large focal length, and a small focal distance. Conversely, to achieve a large depth of field, use a large aperture, small focal length, and large focusing distance. Depending how much on either extreme you follow this rule, will determine how small or large your depth of field will be.
Setting your aperture
One key point, a large aperture means the F stop is set to a small number. When the a large aperture like 1.8 is used, the lens is opened wide. This is often confusing, because the smaller number represents a larger opening. Also note, the larger the opening, the more light is allowed to pass through. The largest aperture you can have is 1, which lets all the light through as if there weren't any lens obstructing the sensor/film. Therefore, with a larger aperture, the shutter time required for a photograph is reduced. This is often why lenses with a large aperture are considered fast lenses.
Selecting a focal length
Another nifty trick to achieve a smaller depth of field is to use a larger focal length lens. I often shoot sports with a 400mm lens. With the camera's aperture in auto mode, the large focal length is enough to reduce the depth of field significantly so that the athlete I am shooting is in focus, but nothing else is.
Selecting a focal distance
So you are not fortunate enough to have a fast or large lens, don't fret. You can still achieve a smaller depth of field by focusing close to your subject matter.
Small depth of field is achieved
with a large focal length