Check the inlay of the CD packaging as some artists include a lyric book with their albums.
Listen to the song with a pen and paper at hand, or with a word processor.
Listen to the lyrics and write or type them down as you go along. If you miss a line or find it hard to decipher, pause the song and rewind until you've heard it enough times to verify the words.
Visit a lyrics website to check that you have the right words. Simply type in the name of the artists and song name followed by "lyrics" into a search engine. Check a few of the resulting lyric websites for accuracy. You may also find some websites that are dedicated to discussing songs and meaning behind song lyrics.