This is something that is very easy to mess up. There are a lot of ways to do it wrong, but one way to do it right. :)
I've been making a lot of jewelry recently and I'd been finding myself spending a lot of time trying to get my jump rings back into shape after opening them the wrong way. Lately I find myself screaming "CURSE YOU, JUMP RING!" significantly less.
Video is on the last step!
Step 1: What you'll need:
two tiny sets of pliers
things to attach jump rings to, like a chain or clasp