Search for guitar tablature, music notation or chord charts for the songs you want to play on the guitar. If you want to find the music for Led Zeppelin's "Black Dog," search for "Led Zeppelin Black Dog tabs" or "Led Zeppelin Black Dog chords."
Choose the best tabs or chords. Not every guitar tablature that you find will be completely correct, but many guitar tab websites allow users to rank the quality of their guitar tabs. Note the rank that each guitar tab has been given and choose only the highly ranked tabs.
Listen to the song you want to learn to play and become as familiar as you can with it. If you don't have the band's CD, listen to the song on the band's homepage or on a website such as Youtube.
Find and watch music videos of the song. You may find it useful to watch the band's guitarist playing the song you want to learn. If the song is popular, you may also be able to find online video lessons on Youtube.
Divide the song into sections: verse, chorus, bridge, solo. Go over each section one at a time until you are familiar with each of them. If you find a section hard to play, practice it until it becomes easier.
Play the song from beginning to finish. If it helps, play along with the music to get a better sense of the song. It may take time to successfully play through the whole song, but the more you practice the easier it will become.