Dry hair is caused by heat and the elements, so the first step is prevention: Try to avoid using overly hot dryers and heat-styling implements (or keep them at the lowest temperature possible) and wear a hat or scarf if you're going to be exposed to sun or wind for a long time (at the beach or skiing, for instance). And don't wash your hair every day -- unless you have an oily scalp, only shampoo often enough to remove dirt and buildup -- about two or three times a week.
If you're like many women with fine dry hair, you probably overcondition and end up with your hair plastered flat against your head. The trick is to find a middle ground: products with enough conditioners to seal in moisture, but not so much that they weigh your hair down.
Try a few different shampoos and conditioners -- especially those that contain humectants-- until you find one with the right level of conditioning for your hair. (Avoid leave-in conditioners, and if your scalp is oily, keep conditioners away from the roots.) A drop (just a little!) of silicone serum also can help seal in moisture and add a bit of shine.
Sometimes we think of hair that is damaged from processing as being dry; if this sounds like you, see the section on damaged/overprocessed hair.