When I'm using drupal, the default behavior of db_query("SELECT col FROM tab WHERE id=%d",$id) handles that for you.
This is similar to using sprintf with mysql_real_escape_string on your query first. And you could implement it yourself, from the code they show, note that they use the preg_replace_callback() method, and you can click on that..
The traditional way, if you ignore PDO (not recommended):
<?php
// Connect
$link = mysql_connect('mysql_host', 'mysql_user', 'mysql_password')
OR die(mysql_error());
// Query
$query = sprintf("SELECT * FROM users WHERE user='%s' AND password='%s'",
mysql_real_escape_string($user),
mysql_real_escape_string($password));
?>