The easiest way to do this is open up the System Settings, Dash -> System Settings and select your screen.

You should be prompted with the following screen options;

You simply need to choose a setting that suits your needs - if you do not want the screen to turn off simply select 'Never'

You can also choose whether you want to 'Lock' the screen as well. Once done choose 'All Settings' and then close - you may have to log out and back in again for the changes to take effect.

Update

For 12.04 this setting screen has been renamed to Brightness and Lock - see below;