An SPF record is a type of Domain Name Service (DNS) record that allows email systems to check if the sender of a message comes from a legitimate source and refuse an email if the source is not legitimate. Adding an SPF record is as easy as adding CNAME, MX or A records in your DNS zone. You can find more information here.
Before creating the SPF record for your domain, it is important to have access at your domain's DNS zone and to know what mail servers your domain is likely to use and plan how you want any non-authorized email to be handled.
Let's say that you are planning to send emails using Google Apps and you also want to ensure that no other mail servers are authorized. You can use an SPF record like this:
v=spf1 include:_spf.google.com -all
"v=spf1" - This sets the SPF version
"include:_spf.google.com" - This includes Google mail servers in your list of authorized sending servers
"-all" - This means that any server not previously listed is not authorized
If you are using your own VPS to send email and not any other service like Mandrill, Google Apps, etc. then you can create an SPF record like this:
v=spf1 mx -all
Setting an SPF record for your domain can help in reducing the chances of a spammer using your domain name in unsolicited emails. Research carefully what mail servers your domain is likely to use and plan how you want any non-authorised email to be handled.