Most people don't realize this, but your bike needs maintenance. Your axle bearings needs to be cleaned and repacked with grease every 500 miles (100 on a mountain bike).
This instructable shows how to repack your axle bearings and install a new freewheel body (if you need one).
Step 1: Remove the wheel from your bike.
If you don't know how to do this much already, this may be too big a job for you at this point.