I can give you a bit of fast advice, but it is by no means exhaustive and you should talk to a financial advisor (your bank has some you can make free appointments with) or get some literature from your bank.
Prevention
First thing's first, you need to avoid getting your identity stolen. Good practices to perform are:
1) Don't just throw away old credit cards, bills with identifying information, or paystubs. Anything with your name on it linked to a utility or credit brokerage should be shredded when you decide to chuck it. There is a minimum amount of time you are legally required to hold on to your recepts and bills, but after that it needs to be properly destroyed.
2) Don't use credit card payment on things like snack machines - especially in places like casinos or airports. Those are prime marks for devices that can collect your pin an card number. Gas station swipe payments are a bit better, but only where they have 24 hour surveillance.
Early Detection
A big part of why identity theft is such a big deal is because a lot of the time you don't even know it happened. These are steps to catch it before it goes too far.
1) Get a credit report at least once a year, twice a year is better. A credit report will clearly show you what kind of things have been happening related to your short and long term loans. If someone took out a loan in your name, or if you see a series of unpaid credit card charges for a card you don't recognize, you are being robbed.
2) Check your credit statements everytime you pay a bill. Just take a skim through and make sure you don't see any charges you don't expect. In particular, keep an eye out for purchases of things like gift or phone cards, or small reoccurring charges. Gift cards are often used for 'money laundering' in the small scale sense - you go out, buy a bunch of 100 dollar bestbuy giftcards, then use the hard to track gift cards to purchase electronics that can then be fenced or kept. If you get caught using a stolen credit card it's instant jail, but getting caught with a stolen giftcard is a far lesser offence, if you ever actually do get caught. Small reoccurring charges are often used to mask theft as a donation or bill payment to keep the money coming longer. You need to make sure you recognize all regular payments - bill and government payments for utilities and services are always clearly designated or marked. Most charities have a searchable code attached to them for identification purposes.
3) Always check a credit card offer or bank account offer when you get it. Make sure it is for something that would have reasonably reached out to you. If you have never heard of the bank or credit card, or specifically don't do business with them, and you are suddenly recieving a credit card or an account opening notice, call them. Ask why you got what you did - if it is a promotion then fair enough, if they say you applied for it then you have caught identity theft in action. (This happens because you have a legal on file address attached to your government issued id - a thief steals your name to apply to something but it gets sent to your legal address.)
4) Be on guard if your mailbox appears to be tampered with - contact the postal service that you work with, and take note of any sensitive documents that may have gone missing.
Reporting Identity Theft
1) You have a government agency in charge of dealing with identity theft - without knowing where you're from I can't really say who it is, but you have one. In Canada we have the Canadian Anti-Fraud Center. First thing is to notify them. They will instruct you on how to proceed, but the following is kind of a heads up.
2) Tell your credit card company. They have the power to immediately kill a card, stop and reverse individual payments, and are in contact with the above agency to hand over evidence to track down the thieves, or stop their operation. They will watch for future abuse if you warn them you are a victim of identity theft.
3) Tell your bank, same deal as above.
3) Tell the credit bureaus you operate under. Some countries have more than one, and you will have to tell all of them. These are the same bureaus that issue you a credit report.
4) Passwords have to go. Start from scratch, choose strong long passwords, and keep a little black book - if someone breaks into your home you have bigger problems than web security anyway.
5) Any agencies that provide utilities or issue identification or documents need to be told.
