Experiment with finding the key of the song. Play the song you want to transcribe at regular speed and play notes on your guitar or piano until you pick out notes that match. This can be a hit-or-miss process, but once you've managed to find a few correct notes, you'll begin to identify the key of the song and the chords and notes you'll be looking for in the rest of the song. Write any notes you can identify down on a sheet of paper so you can use them as reference.
Build a basic chord chart for the song. Using the notes you are certain belong in the song, try playing various chords along with the music. When you find a chord that goes, write it down and work on finding the chord that follows. When you have a chord progression written that you are certain belongs to the song, begin working on individual parts.
Slow down the music you want to transcribe. Slowing music down will alter the pitch of the music, but it's the easiest way to hear the timing of the notes being played. You can speed up the recording to match the pitch. To slow down a recording, use audio software that has speed control. If you don't already have audio software, Audacity is a free program that has this capability (see Resources). Work on individual sections of the song first. For instance, you might want to try figuring out riffs and musical figures that repeat throughout the song, then work on finding the notes for any solo in the song. Once you have determined the timing of the notes at half speed, move the song back to full speed and try playing the phrase you learned. You will need to reposition the phrase on your instrument to make concessions for the lower pitch you learned it at.