You can start by:
1. Building adequate savings by spending less than you earn.
2. Paying yourself first by always saving at least 15% of your income each year.
3. Pay your bills on time, every time, to build a good credit history.
4. Don't rely on credit cards to finance your lifestyle.
5. Read up on ways to build and improve your credit.

That'd be a nice start...

You can get a secured credit card(you give them cash to hold on to that is the same as your credit card limit so incase you don't pay they have security) to start building your history or get a cosigner for a car or other loan. Student loans are also hard to get denied for those will get reported on your credit profile.

Mynion has some good points but keep in mind paying bills such as utilities or other bills that are not "credit" like do not help your credit because most aren't reported to credit agencies, however, not paying these bills will cause these to show up on your credit report in the form of collections and hurt your credit.

You should get started immediately on building your credit history unless you plan on paying for everything in Cash, including houses.

I am new to the forums and came across your situation. I had the same issue several years ago. I went to my bank and applied for a personal loan in the smallest amount possible - at that time it was $500. I was able to get that with no problem based on my salary and time on the job and the fact that I had banked there for years. I put the money aside. I had 12 months to pay back the loan but made accelerated payments and paid it back in 6 months. This was my start and it worked like a charm. I then was able to get a credit card with a very low limit, but built up from there.
Hope this helps.