Like everyone has said, get a credit card and pay it in full. Ideally pay it in full before your statement comes. Many starter credit cards will have a ridiculously low limit, my first discover card was $500. The issue with paying just on-time and not before the statement date is that discover reports your balance as of the day the statement prints so my reported available credit was always dismal.

I also had some American Express charge cards, they don't have a huge affect on your credit but they may help you get an American Express credit card if you have a thin file.

Once you got some credit, you can go for a car loan. I opted for a lease (since they tend to be cheaper then a new car). My current credit score tends to hover around a 720 FICO and I'm a rising junior, will probably go up a decent amount when I remember to pay my discover card in full before the statement date.