Also, if you open up the Planets screen for the planet that just built the colony ship (and you'll automatically be taken there at the beginning of the turn to decide if you want to change the ship type you're building), you'll see that little box in the bottom righthand corner that says "Ships In Orbit." That's where you'll see your colony ship (and if you hover your mouse cursor over the ship icon for a second, it should tell you what ship it is). Now, you can do what was said above or you can also just double-click on the ship icon and it will show a Launch dialog in the very bottom right corner with a slider that lets you choose how many people you want to load from your planet onto the ship (I think it defaults to half that planet's current population). Once you've got that set, click the Launch button and your ship will now show up ready to move.
~SDC~