Typically the implementation of the pow(double, double) function in math libraries is based on the identity:
pow(x,y) = pow(a, y * log_a(x))
Using this identity, you only need to know how to raise a single number a to an arbitrary exponent, and how to take a logarithm base a. You have effectively turned a complicated multi-variable function into a two functions of a single variable, and a multiplication, which is pretty easy to implement. The most commonly chosen values of a are e or 2 -- e because the e^x and log_e(1+x) have some very nice mathematical properties, and 2 because it has some nice properties for implementation in floating-point arithmetic.
The catch of doing it this way is that (if you want to get full accuracy) you need to compute the log_a(x) term (and its product with y) to higher accuracy than the floating-point representation of x and y. For example, if x and y are doubles, and you want to get a high accuracy result, you'll need to come up with some way to store intermediate results (and do arithmetic) in a higher-precision format. The Intel x87 format is a common choice, as are 64-bit integers (though if you really want a top-quality implementation, you'll need to do a couple of 96-bit integer computations, which are a little bit painful in some languages). It's much easier to deal with this if you implement powf(float,float), because then you can just use double for intermediate computations. I would recommend starting with that if you want to use this approach.
The algorithm that I outlined is not the only possible way to compute pow. It is merely the most suitable for delivering a high-speed result that satisfies a fixed a priori accuracy bound. It is less suitable in some other contexts, and is certainly much harder to implement than the repeated-square[root]-ing algorithm that some others have suggested.
If you want to try the repeated square[root] algorithm, begin by writing an unsigned integer power function that uses repeated squaring only. Once you have a good grasp on the algorithm for that reduced case, you will find it fairly straightforward to extend it to handle fractional exponents.