Av mode, roll the selector until the smallest aperature (largest number) that your lens supports is selected. Make sure you are on the lowest ISO (generally 100). Half-press the shutter and see what shutter speed the camera selects. 1/2 second will give decent blur to the water - even slower is better.
A Circular Polarizer will help (generally will slow the shutter down a stop or two), as will neutral density filters.
Most of this has already been mentioned - just thought I'd summarize.
Oh, yeah. Don't forget your tripod.
Edited to add: If you're steady, a pair of sunglasses held in front of the lens sometimes makes a good substitute for neutral density filters.