If it's naturally frizzy then I would wash it, and blow dry it straight. When it's very straight then you can use straightners or curlers to put some loose waves in it.
If you try and do it wet, the waves might look a bit frizzy when they dry.
OR,
There are loads of great products now like Frizz Ease especially for stuff like this. I'd recommend a slightly cheaper one - I think it's by Loreal it's in a bright pink bottle, there's one for straight hair and one for curly hair.