Know what kind of loan you have. Depending on the lender, you'll pick it up in different places or may not pick it up at all.
Federal student loan money goes to the school, where they usually either deposit the funds or send a check on to you. Check out government Web sites for more info.
Private lenders often will make the payment directly to the school.
Private lenders are increasingly making loans directly to borrowers. If this is the case, you'll receive money from them and will have to pay the appropriate amount to the school.