-Shallow depth of field: when only a small portion of the photo is in focus and everything in front of or behind the focus point is blurred. Example: http://www.flickr.com/photos/
-Deep depth of field: when a lot (or all of) the photo is in-focus and nothing is blurred due to being in front of or behind the focus point.
Two things work together to determine your depth of field: where you focus, and your aperture.
-Low-numbered (aka "large" or f/4 rather than f/16) apertures give you a more shallow depth of field.
-High-numbered (aka "small" or f/16 rather than f/4) apertures give you a deeper depth of field.
But, the distance from the camera to where you focus also matters.
-The closer to the camera that you focus, the shallower the depth of field at a given aperture.
-The farther away from the camera that you focus, the deeper the depth of field at a given aperture.
So, to get an infinity focus (or close to it) you need to focus far from the camera and use a high-numbered aperture. If you aren't using Manual modes yet, then choosing the "Landscape" Auto mode on your camera (icon usually looks like mountains) and a distant focus point will get you similar results.
The sweet spot seems to be about a third of the way into the distance in your image -if you focus there (in a landscape) you should get about infinity focus. But please note that macros and studio shots are different since the focus point is so much closer to the camera, it is often impossible to get infinity focus without taking several pictures with different areas in focus and then stacking them in software after the fact.