If you find yourself with a bleeding nose, do not pick your nose, it will only make the bleeding worse.

I have heard many recommendations, including the "roll a peice of tissue paper up and shove it up the nostril" method to the "blow the blood out through your nose until there is no more blood to blow" method. The tissue paper method will usually work, however, I do recommend placing a cool cloth on the back side of your neck. Place your index finger and your thumb on the middle of your nose and lightly pinch. Lay down on your back if you can.