If you have a digital SLR, you'll have an easier time when setting up your camera. In a nutshell, you'll want to dial in the lowest ISO, throw the camera into full manual mode, choose a small aperture opening (try starting at f/8), and pick a slow shutter speed with an exposure time of between 1 and 4 seconds. After you take your first few pictures, review them. If the fireworks all look kind of white, try again with the same exposure time but close the aperture a bit, changing your f/8 setting to f/11 or f/16. If the fireworks are too dim, open the aperture to f/5.6 or f/4. Most SLRs have a bulb mode that leaves the shutter open for as long as you hold down the shutter release--use it. When the fireworks launch, press the shutter release to start the exposure. Hold the button down until after the fireworks have bloomed.
(Photo by *etoile.)