Definitely be pro-active. Look up the CVs (like a resume) of professors in your dept, and find out what kind of research they are doing. Get involved do anything, and work your way up. You may just enter data for awhile, but that will get you use to it, and will expose you to other areas. If you have a choice, I'd suggest trying to do literature reviews. This is when you look up all of the applicable research. You may or may not be able to do this starting out, but it is a great way to learn about the research process.
When I was an undergrad, I did the above, and before long, I was able to be a contributor to some great research. I decided to split off and do my own research, but I learned many of the core skills by working with others.
-t
