Finding your immigrant ancestor is a very large topic. There are many ways to look for the origin of your immigrant ancestor. Here are some suggestions about how to get started.
http://rwguide.rootsweb.com/lesson15.htm?cj=1&o_xid=0001029688&o_lid=0001029688
http://www.familysearch.org/Eng/Search/RG/frameset_rg.asp
http://www.progenealogists.com/immigrant.htm
< xml="true" ns="urn:schemas-microsoft-com:office:office" prefix="o" namespace="">
http://genrootsblog.blogspot.com/2006/08/ports-immigrants-and-passenger-records.html
http://www.olivetreegenealogy.com/index.shtml
http://home.att.net/~wee-monster/passengers.html
http://www.genealogytoday.com/us/goingpro.html
http://www.cameraontheroad.com/family/tips-on-finding-your-immigrant-ancestors-on-passenger-lists/
Ellis Island was the entry point for many of our immigrant ancestors The site is free, but does require registration.