401k question?

i have a 401k through a company that i don't work for anymore, i'd like to turn the money into an IRA or some other type of savings, but i'm not sure how to go about it. i'm not even sure of the correct questions to ask the company to get the paperwork to do this. as you can see i'm not very savvy when it comes to financial matters so any help from an experienced financial person would be greatly appreciated. thank you!