There are many different ways to felt animal fibers.  Choose a yarn that is predominately made of animal hair fibers (wool, alpaca, mohair, etc) and wash it with agitation and changes in water temperature.  Superwash wools have been specially treated so they will not felt.  Plant based yarns (such as cotton or linen), silk, and acrylic yarns also will not felt.  When you felt a yarn, you loose your stitch definition.  Felting is a great project for beginners, because all of your mistakes will disappear when you felt your project!