Determine what kind of music you want to learn dance moves for. If you don't already know this, put on a mix of your favorite music, including songs from all genres you like, and move to the music. Whichever genre inspires you to move the most is the best one to focus your dance moves on.
Decide what kind of dance moves you want to learn. If the genre of music you like to dance to has an existing, clear-cut dance form, such as hip-hop, swing or salsa, the music may already tell you the kinds of moves you want to learn. But, you may be interested in simply learning sexy moves you can do when you're dancing at a club.
Take a dance class, even if the dance moves you want to do don't have a structured form, because this will help you get to know how your body moves and will help with your musicality. If you want to dance hip-hop, swing, salsa or another structured dance, take at least one introductory class in that dance. If you're interested in free-form dancing, take any type of dance class that interests you---from contact improv to belly dance.
Find a dance club or a social event that features the kind of dance moves you want to learn. Find one or two dancers on the floor whose moves you appreciate and would like to be able to do. Watch them carefully. Attempt to replicate at least one move you observed. If you have problems replicating it, approach the dancer and ask if she'll show you how they did the move. Some dancers are happy to share their knowledge.
Get a dance partner and experiment with moving to the music together once you have a good grounding in dance, even if you're learning solo dance moves. Dance moves are all created from a sense of playfulness and exploration, so this is a great way to learn and create your own dance moves.
Practice your chosen dance form regularly. The more familiar you are with it, the more successfully you'll be able to learn new moves.