You should have received your National Insurance Number Card (NINO) in the post automatically prior to your 16th birthday provided that you have lived in Great Britain and that your parents or guardians were getting child benefit for you. However if your child benefit was paid to a different address to where you are now then it could have been sent there.
If you have lost your NINO card then you need to got into your local JobCentre or Tax (HMRC) office and take two suitable forms of ID with you (i.e. passport, driving licence etc). They will check your ID and probably tell you verbally what it is. They will then ask if you want to fill out a application form to receive a new card, if you do this make sure you keep the replacement safe as you are only entitled to one replacement card!
If you do not live in GB or have parents/guardians who received Child Benefit for you, then you need to contact your local jobcentre and make an appointment to apply for a NINO.