Have you gone into the Display menu?  Choose Display from the top, then scroll down to Guides, then choose Focus Distance Guide.  This will put a large "X" in your current window with a sphere and torus in the middle.

Above your parameter dials is another dropdown menu.  Click on it and choose Cameras, then Main Camera.  When the dials show up for the camera, you will see a dial called "focus_Distance".  Depending on what you want to focus on, turn this dial to the point where the large guide (the "X") intersects whatever is your main focal point (what you want to focus on).

Once this is complete, go to your Render settings.  You should see the Auto settings.  For sake of argument, let us go with what I use.  Your mileage may vary ;-)  Move the slider to the Final setting.  Once that is done, click on Manual Settings.  This will take you out of the slider area.  You will see a BIG button called "Acquire from Auto".  Click it.  Now your settings have changed.  Move Raytrace bounces to 2 if you have no transparencies.  Near the bottom of the list is a setting called Pixel samples.  This is where the magic happens.  Set it anywhere between 15-20.  This will cause your render to take forever, but it will be worth it.  To the right, under Options, is a box called Depth of field.  Put a check in there.

Now all you have to do is click on Render Now.  Site mail me if you have still have issues with DOF.