Most Rolex watches are "perpetuals," which means they don't need winding as long as they're worn on the wrist of a relatively active person. Perpetuals don't need winding because of a small device inside the watch that converts the motion of the wearer's wrist into stored mechanical energy to run the watch. However, if a Rolex is not worn for an extended period of time (anywhere from 48 to 100 hours), then it's advisable to hand-wind the watch.
Hold the watch over a desk or other surface so that if the watch slips from your fingers, it won't drop far enough to damage it.
Unscrew the crown. This is the small nub that sticks out of the 3 o'clock position on the watch. Turn the crown half a turn counterclockwise. The crown will pop out slightly.
Turn the crown 30 or 40 complete turns in a clockwise direction. Don't worry about overwinding. Rolex watches have a built-in mechanism that prevents overwinding.
Push the crown back into the watch. You'll feel and hear it engage. If your watch doesn't start working immediately, don't shake it. Wear your watch on your wrist for awhile so the natural motions of your wrist will start it working again, or set it aside for awhile and it should start running on its own.
Wear your watch frequently if you want it to wind automatically.