Not turn your amp up all the way. That's for sure. You'll roast your speaker. Set your amp's power knob at just below 1/2 power level, or around there. Then adjust your bass thrust knob (or knob of a similar name(dB+/-)) accordingly. Also, make sure your amp's crossover is set to the subwoofer setting, so that it only sends out lows to your speaker. This will rid you of quite a bit of distortion.
Then adjust your output knob to a high mHz if you want high-end bass, or a low Hz setting if you want more low end bass. Or right in between for a mixture of the two. If it all possible, it's also a good idea to run the sub in mono if you have a single sub.
Or just spend $25 and have it professionally tuned for you. Oh, and a good-sized box will help, as well.
Oh, one last thing: make sure the RMS rating on your sub matches that of the amp. That's another good way to fry a speaker.