The sound is made by blowing pressured air out. Generally the tongue would be placed upwards touching the bridge of the mouth (just behind your gums) or placed under the front row of teeth. When you blow air out, the opening for it to escape should be small enough that it creates pressure and sound as it escapes, making the 'th' noise. If it's any help, this is very similar to the 's' noise, but in the 's' sound pressure is released towards the back of the mouth. You can try moving the pressure region while making the 's' noise further up towards the front of your mouth and you may eventually start making a 'th' sound.

well, isn't there kinda a difference? voiced or unvoiced? the TH from think, thank, thunk or TH from the, these, those?

well, as hellopanda77 said there are 2 th sounds in english, voiced and unvoiced. some ppl replace this sound with a similiar sound, for example in some areas such as london they say something like "strengf" instead of "strength" or "bovva" instead of "bother". nonnative speakers usually mispronounced this sound with "s" or "z". I refer you to this link for further information: http://en.wikipedia.org/wiki/Pronunciation_of_English_th. you need to hear the th sound when a native speaker pronounce it. a good dictionary with the pronounciation of words can help you on this.

Just give up. The TH sound isn't very important anyway.

Put the end of your tongue against your top row of teeth, now breathe over your tongue and through the teeth! Simple! ^_^