For more details on locating a specific building manual please see:
Almost all LEGO sets come with instructions for building 1 or more models with the elements in the box.
The instructions can range from a single sheet of double sided instructions folded up with the elements through to multiple bound books.
For more advanced models, the steps often include details of all the elements needed in that step, and can also have one or more sub-steps within them, other instructions require the builder to compare the model with the previous step and see what's been added - which can lead to minor elements being missed (see also Why are there extra pieces in my set?).
Some themes (namely City, and earlier Star Wars sets) also include a short cartoon at the end of the instruction book relating to the characters and minifigs in the set.