* During the main questline: The main way is by following the College of Winterhold questline. The game will guide you through the process, starting with speaking to Faralda in Windhelm. She will then take you to Winterhold via teleportation. This is the most straightforward and recommended method.
* Fast travel: Once you've been to the College at least once, you can fast travel directly to it on your world map.
* Walking/riding: You can walk or ride a horse to Winterhold, but it's a long and potentially dangerous journey. Once you reach Winterhold, the College is the prominent structure in the city.
* Entering without the quest: Technically, you can try to sneak into the College before starting the questline. However, this is difficult, highly likely to result in immediate attack by guards, and offers no advantages.
In short, following the main questline is the easiest and most logical way to enter the College of Winterhold. Any other method is significantly more challenging and unnecessary.