Here is a circuit built on some perf board that makes it easy to burn the Arduino bootloader to a blank ATMEGA328P-PU chip.
After building the circuit upload the ArduinoISP sketch from File->Examples->11. ArduinoISP->ArduinoISP to the Arduino Pro Mini clone using a programming cable. For best results you should upload the ArduinoISP sketch to the Pro Mini clone before plugging it in to the sockets on the perf board. Once the ArduinoISP sketch is uploaded plug the Pro Mini clone in to the sockets.
Now select the type of board you want the ATMEGA328P-PU chip you are burning to be. I wanted the chip to use the Arduino Pro or Pro Mini so I selected Tools->Board:Arduino Pro or Pro Mini.
Next select the Processor. I chose Tools->Processor: "ATmega 328 (3.3v, 8 Mhz)".
Then select the appropriate Port of your programming cable.
You will also need to select Programmer: "Arduino as ISP" under Tools.
When ready to burn the bootloader select Tools-> Burn Bootloader.
Note: You may need to use the 10uF capacitor shown on the schematic between Reset and Ground on the Pro Mini clone. I have used it successfully with and without. When I tried this circuit on an Arduino Uno R3 clone board I was unsuccessful but it worked on a genuine Arduino Duemilanove board with the addition of the 10uF capacitor. You will need to remove the 10uF capacitor when you install the ArduinoISP sketch and then re-insert it before running the Burn Bootloader.