Start with the S.I.N. card. Most offices require a valid address where they can send you the card through the mail. Use your personal address if you have one otherwise use a friend's address. The S.I.N. card enables you to work in Canada and is also needed to obtain other cards, documents and government services (e.g. child tax benefit).
In order to apply you need your passport and immigration papers, and any other identification paper - preferably already translated English or French. All you have to do is fill out an application form at your nearest Canada Employment Centre. A plastic card with your social insurance number (unique number assigned only to you) will be sent by mail. The plastic card will be accompanied by a paper for your own record use (keep paper in a safe place). Sign and keep the plastic card with you. It is illegal to have more than one social insurance number. If you lose or destroy the card, you will get a replacement card with the same number (certain fees applies).