I am having trouble establishing a credit history. Currently, I have no credit at all, what should I do to get started building my credit?
I would recommend using a secured credit card to establish (or re-establish) good credit. While I worked in banking we used to recommend Providian as the most reputable. Since then I think they've been purchased by WaMu so their card offerings may have changed. With a secured card, you'll receive a credit limit for whatever you put on deposit. After a year or so of on-time payments, you'll start getting credit limit increases.
A common mistake is changing cards too often (card surfing), usually because someone offers a higher credit limit. Don't take the bait. You'll have a higher credit score the longer you keep the account open, as this shows stability which is a key concern for lenders. It typically hurts you to have more than 3 revolving credit accounts, so don't open too many accounts in the rush to have high credit limits. It'll happen faster if you stick with 3 or less. Call them annually and request credit increases or lower rates, especially if your income goes up. The worst that can happen is they say no. But sometimes they'll say yes in order to retain you as a customer.
Another way to increase credit is to consider leasing a car. A lot of times these are easier to qualify for instead of an actual auto loan. It shows up on the credit report as a revolving credit account. Dealerships have a knack for getting leases approved in order to sell a car, so if you're sure to make your payments on time this can work to your advantage in building good credit. I've also seen credit wrecked because of leases, so be sure to abide by your lease restrictions lest you end up with what is called a "deficiency balance" when you turn the vehicle in.