Basic Row Method
Make your last stitch. Make the final stitch in your row, just as you normally would before starting extra chain stitches to turn around and move on to the next. Hold the yarn tight enough to keep tension on the yarn but loose enough so that it can slide through your fingers while you crochet.
Cut some extra thread. Cut the yarn about 4-6" from where it comes off the piece you are working on. This extra thread is called the tail.
Start as if making a single crochet chain. You should have one loop on your hook at this point. Now, catch the yarn on your hook and pull it towards the loop as if you were going to make another chain.
Pull the thread all the way through. Now, instead of creating a loop with the yarn, pull the thread all the way through the loop.
Tug to secure the knot. Give the tail a firm pull. You should see the loops behind and around it tighten up until it looks like your piece ends in a knot. Technically you are done, though you should not generally stop here as this connection can come undone.
Weave in the ends. Take your tail and weave it back through the stitches that you have made. This will hide the tail and keep it from unraveling the knot you just made. Now, there are LOTS of different theories on the best way to weave the yarn through the piece. Some people use a yarn needle, others use the crochet hook, some people weave the thread back and forth through the first and/or second rows, some people pull it in a single line through the middle of the first row. Experiment and find a way that you like but most methods likely work equally well.
Continuous Round Chain Method
Do your last stitch in a round. Do the last stitch as you normally would while working in the round. Stop just short of chaining extra to start a new row.
Cut off the excess. Cut the yarn about 4-6" from where it comes off the piece you are working on. This extra thread is called the tail.
Pull the thread through and out. Now pull on the loop that you have started until all of the thread comes through and you have a loose tail.
Thread a yarn needle with the tail. Get a yarn needle and thread the tail through the needle.
Thread through the other side of the gap. Now, you'll have the two sides of your row on the circle, separated by a V shaped gap. Your needle and thread should be on one side: you're going to bring them over to the other. Put the needle just under the first stitch, just past the beginning chain, and pull the tail under both loops.
Pull the gap closed. Pull the tail to bring the two sides of the V together and close the gap.
Finish the fake chain. Go back to the last stitch that you made, on the first side. Put the thread through the back loop of that first stitch, from the facing side, and then pull it through. It should now look like a normal chain in the outside row, completely invisible.
Weave in the remainder of the tail. Weave the tail down towards the center a bit and then back up. Weaving in two directions will be necessary to keep the tail from coming loose. If you are new to crocheting, make potholders or scarves that are worked in flat rows. Then learn to crochet in the round and make granny squares and hats.
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