Well I guess it depends on what you mean. All you have to do, for the most part is find one and run in the door. Now depending on what your level is you will be able to hunt, or die in no time at all. If you don't know where to look check /map, also try the task master, NPC that stands in almost every town (I think) and he/she will tell you where to go to enter the instance dungeon.
They are all kind of level specific What level is your toon?