You do not have to do anything to established copyright in a photograph—all
photos (except possibly some copy work) are automatically copyright.
Optionally you can register copyright with some national bodies. Doing
some may make it easier to claim breach of copyright and increase the
amount you can claim in that country.
For the USA, go to the Library of Congress web site and download the
forms listed there—they are in Adobe Acrobat format.
The fee of $30 [USA] can cover any suitable collection of photographs.
Read all the instructions and follow them or your form will
be returned! (I have personally experience this! —TPNet)
You
can also add a digital "water mark" or image which creates
a marker in the picture identifying it as yours, but this may not be
very effective. (In our photo galleries you will notice our copyright
image (right) in a corner of the image. —TPNet)