My first job was an internship with someone I met during my short stay at college. I didn't know him very well at all, but we happened to talk a little bit and after I told him I wanted to get into the computer industry he let me know they had an internship available.
ah nice, yeah it seems like internships during college is a good first step since the barrier to entry is a bit lower ... from there you can start building your network
I think it's worth mentioning that college wasn't really the important factor; the important thing was seeking out and finding people who were doing what I wanted to be doing.
You could go the route of posting your resume to job boards, writing great cover letters, etc; but knowing people is a two-way street. Not only can they give you an in, they can also tell you if a place is any good or not to work for.