First, set up a GUID receiver, either by adding a CNAME, or installing a receiver script, as discussed on this page. Then, save this page to your domain, so you can view it from your browser, e.g. "http://www.yourdomain.com/testguid.html".
If you opted to install a receiver script on your site, you will need to edit the tag at the bottom of this page to include it, e.g.
<img height=1 width=1 src="http://g.guid.org?r=http://mydomain.com/guidcatcher.php">
Now, when you view the newly edited page from your site, you will be assigned a GUID. Reload the page to see your GUID.
Once this works, you can safely add the GUID pixel to every page on your site.