First, find the stitch and stop it from going any further by putting a safety pin, stitch marker, or even another piece of yarn through it. Get a crochet hook that's a bit smaller than your knitting needles OR even use another knitting needle.

You'll notice what looks like a ladder that leads down to your dropped stitch. Those 'rungs' are each the yarn you used to knit the stitch on each row. Picking up sts is just catching those bars again.

Holding the work so you see the front side, put your hook or needle into the stitch from front to back. It should go ABOVE the lowest rung in the ladder. Using the tip of the needle or the hook, catch the lowest rung and pull it THROUGH the loop you went through. You've just picked up one stitch! You will then need to take hold of that stitch to keep it from falling. Then pull the hook or needle out, and replace it front to back. (This has to be done because by pulling the stitch through the loop, you change the direction your hook or needle is facing.)

Just do this action again and again until you reach the top, and put your stitch back on your needles. Don't worry if it looks a bit loose; it should adjust itself after a little while. Just tug on the whole thing a few times and you should see it straighten out.

Now, what I've just said will work if you are picking up on stockinette. If you're picking up on garter stitch, you'll need to alternate the direction you pick up in. If there's another stitch pattern, you need to pay attention to which row you're on.

Let me know if you have any questions!