If you can see the head of it, use tweezers, you can also use a piece of tape and that might pull it out. If you can't feel the top of it, you can get a needle and kinda move the skin until you can feel it, then pull it out. If you don't want to do these, just wait and the splinter will work it's self out.
Prepare tweezers by pouring rubbing alcohol over them. Have a good light source handy, and if you need it, a magnifying glass. Grasp the splinter with the tweezers and pull it out in the exact opposite direction to which it stuck in. After you have the splinter out, wash the wound with plain soap and water. If it was a dirty splinter, put some antibiotic cream, such as Neosporin, on the wound and cover with a bandaid. If you haven't had a tetanus shot in the last 5 years, you should get a booster. This is the current USPHS recommendation, not 10 years as previously recommended.