You place the candles in one direction and light them in the other. The newer candle is always lit first.
Basic rule
Place the candles in the menorah from right to left as you face it, adding one new candle each night on the left side of the previous ones. Then, after saying the blessings and lighting the shamash (helper candle), use the shamash to light the candles from left to right, beginning with the newest candle.
Night-by-night example
On night 1, put one candle in the far-right holder and light it with the shamash. On night 2, place a new candle to its left, then light that left (new) candle first, and then the right one. Each following night, keep adding a new candle further left and always start lighting with the newest, leftmost candle, moving rightward.