Look in the data sheet under analog.

You will set the
ADCON1=%????????
or the
ANSEL=%????????

I can not remember which one for the chip you are using.
The selection may not be just one but two or more pins analog.

You can also us a decimal number. On the 16F877A this will make AN0 through AN3 analog.
Code:
ADCON1=2
I like to recommend this for people getting started with analog.
http://www.rentron.com/PICX2.htm