Firstly, always start with your active pills. You should be able to work out which ones they are by their colour and number - there are 21 per strip of pills. Depending on when you start the tablets, you may or may not have immediate cover.
If you have had no prior hormonal contraceptive, then take an active pill during at some time during the first five days of your period and you will have immediate contraception.
If you start after your period, then you will need to use additional contraceptive methods (e.g. condom) for 7 days.
NB: These instructions pertain to Levlen and not other oral contraceptives.