Instructions
Obtain cobblestone. This is arguably the most common block in the game, because players mine stone far more than they will dig dirt or sand. Hold down the left mouse button to break apart stone. This requires any kind of pickaxe, including wood.
Obtain a source of fuel. This can be any number of things, including wooden logs, planks, sticks, charcoal or even a bucket of lava.
Right click any furnace in the world, and a smelting dialog box pops up that has one large square on the right, and two stacked smaller squares on the left.
Fill the bottom smaller square with the fuel. Fill the top smaller square with the cobblestone. Wait a few minutes for the stack to smelt, causing a picture of stone to appear in the larger square.
Drag the stone into your inventory.